I agree. I usually mouse-over a link and check where it's being redirected to in the Firefox status bar, but I haven't seen this option for links that have been shortened.
I never really understood it, and would probably click on more links in Twitter and other places if I could see for myself if the shortened link was legit.
There's a greasemonkey userscript which automatically expands a lot of shortened URLs. Just search the userscript repository for Tinyurl decoder (it supports a lot of services including tinyurl and bit.ly).
