In Germany most of the banks use ChipTAN [1] for online banking. With that scheme it's impossible to make any transaction without having physical access to the card.
[1] http://en.wikipedia.org/wiki/Transaction_authentication_numb...
[1] http://en.wikipedia.org/wiki/Transaction_authentication_numb...
It's a good idea, certainly, just a partly lousy implementation. Some banks will offer the option of sending you a TAN via SMS instead (so your phone is the "something you have"), but usually for a fee.