Sometime ago I installed McAfee Site Advisor (it's free) and it just sits in my browser checking out the sites I visit or google and advising on the status of the sites.
Out of curiosity this morning, I clicked on a phishing email I'd just received (I normally give them the treatment they deserve and just delete them) - it's for a Halifax Account and of course I don't have one - but I just wanted to see how good and convincing the site would be requesting all my personal financial information.
I didn't even get that far, Site Advisor intervened and told me that this was a phishing site, why and what to do about it. Good for them. It's also advised me when a site I've visited has been a source of spam or unwanted junk mail.
Perhaps if more people had this or similar software installed - less people would get taken in my these emails. I'm assuming that some people still fall for these emails otherwise they'd have switched to something else.
If you ever receive an email requesting personal information - especially from a bank - however convincing it may seem, NEVER click on the link. Your bank will always address you by name. Another way to check is either manually type the web address into your browser or if you hover over the link - it will usually show something that is obviously not the correct link and takes you to a false site.
If in doubt delete it.