By bank actually offers such a service, free of charge. The way it works is, I specify a dollar amount associated with one of my accounts, and anytime a purchase exceeds that amount, I am immediately notified by e-mail.
I currently hold a savings, debit, and credit card account with the bank. I simply specified a purchase amount of $1 for each of them, so now I get notified anytime anything happens with any of my accounts. This method has thwarted two unauthorized transactions thus far, which were both resolved/reimbursed within 48 hours.
Can't be too careful these days.