The majority of the cases where I've seen it used so far are in websites or other services that are just asking you for a second piece of information you know -- like a challenge question, passphrase, or the like.
...it looks like Firehost is using Phone Factor (http://www.phonefactor.com/) for their second factor authentication. I'm not sure what I think of that. On the one hand, it's marginally better than a password. On the other hand, it's only marginally better than a password. Unlike a SecurID, phones are pretty easy to compromise -- especially smart phones.