I just downloaded Data Loader 38.0.0. The login has changed - instead of popping up a web window to log in, it just asks for user name, password and login URL (default is login.salesforce.com). I've tried both the production instance I'm trying to load to and my dev org. Neither has trusted IP ranges so security tokens should not be an issue. Nonetheless I get Error: Check your username and password. If you still can't log in, contact your Salesforce admin.
The only login flow available to me in v38 is direct password authentication. I am offered OAuth in v37 and it works fine.
Any thoughts? Why was OAuth removed from v38?