Many people won't check the url when signing in if everything looks to be on the up and up. This is why I really liked one of the things Yahoo did which was create a sign-in seal. Every time you signed in Yahoo would display a custom image that you set and if that image wasn't there then something was probably wrong.
On the other hand, if I could upload my own security image for each site, I guarantee I would remember it, because I'd probably use something I drew myself.