That way, sites can immediately tell the domain name of the provider, and the user to verify, without having the extra selection step for the user. It's also more familiar to users.
This is one of the reasons I decided to not go with OpenID as primary identity authentication for Appleseed.
This is the default way that OpenID works -- The selection of providers is purely a UI choice that has become popular by sites to hide users from URLs.
There's always still a box near the bottom that allows you to type in your URL without picking a provider.
An advantage of URLs is that you have the choice of whether to give your email address to the site. Myopenid.com will prompt you for whatever information the site requests, and you can even choose which email address (if any) to provide the site. Sites which use an email address for login currently require you to remember which spam email address you gave them.
The indirection offered by URLs is quite powerful too: See jerf's comment: http://news.ycombinator.com/item?id=1916033