Banque cantonale vaudoise has been doing that for some time. Their alternative system is a grid card, with numbers you read off to fill in a blank on the Web login: not very secure if your card is compromised.
Credit suisse just sent me a new SecurID to replace a broken one, perhaps because I have a foreign address. I also have a Natel number but they didn't have it.
HSBC UK use a mobile (or fixed line) phone callback to confirm online foreign remittance instructions. Their computer reads off a number which you then fill in on the computer screen. Since their login system isn't all that secure (you are asked for 3 out of 7 or 8 numbers in your PIN) I think that's a good idea. I think Citibank in the USA do that as well.