amazon does that. you can browse the site and it identifies you and your preferences, but when you go to check out or modify account settings, you have to enter your password.
And then there's Windows Live. Click on anything remotely related to Passport? You need a password (followed by 17 redirects, which is hilarious when managers have sound turned on and you here the "click click click click click" as IE bounces around).
I wonder if someone added a few extra redirects just for that reason. Seems like a quick and easy way to remotely identify coworkers that don't customize or disable their sound scheme and use IE.
It's definitely tricky to implement (how do you determine whether a user is "sort of logged in"?), but once you get over the conceptual hurdles it's a pretty awesome user experience.
However, I would argue that like much of what Amazon does, it's not necessarily appropriate for the majority of sites.