I must get about 20 of these a week from Abbey, Egg, Halifax, HSBC and Lloyds.
The best one I saw (and I did happen to have an account for) was 'You have a secure email' with all the usual blurb about never giving your account details out as part of the message. The bank in question does have a secure email system so I clicked on the <normal looking link> within the email - however when I looked at the address bar at the 'bank site' I realised it was a phishing scam.
It's something I've always done but still count myself lucky considering the site copy login page was flawless - passed the email onto the bank and I did actually get a response from them (thanks etc) as it was the first instance they had saw of it too. Bloody lucky.