My bank, CIBC in Canada, has a system in place that instantly sends me an email when they have declined a charge for security reasons. They include the phone number for the fraud department and a few clicks later on the blackberry and the problem is solved.

I think overall the best solution is for the US to move to a chip and pin format for credit cards like the rest of the world has. I have yet to have a pin enabled transaction declined anywhere in the world.