Single Sign On with Salesforce can have a number of benefits for end users.  We have recently published new implementation guides for customers who want to implement Single Sign on.

Single sign on has a number of benefits to an organization:

• Reduced Administrative Costs: With Single Sign-On, all user
  authentication information resides in a central directory, which
  reduces the need to maintain, monitor and potentially synchronized
  multiple stores, as well as reducing user support requests around
  passwords.
• Increased ease of use: Each user only has a single username
  and password which grants them access to corporate resources and
  Salesforce. Reduced complexity means an easier to use environment that
  provides seamless access to all resources. Single Sign-On also saves
  users time, since each individual sign-on process can take 5 to 20
  seconds to complete. And removing the extra step of logging into
  Salesforce can increase user adoption of your Salesforce applications
  by lowering the barrier to use.
• Increased Security: Any password policies that you have
  established for your corporate network will also be in effect for
  Salesforce. In addition, sending an authentication credential that is
  only valid for a single use can increase security for users who have
  access to sensitive data
• Less possibility of phishing attacks when using single sign on

Below are the links to the implementation guides:

Implementing Single Sign On with Salesforce.com
Single Sign-On for Salesforce.com Clients

In addition to these guides, we have some great partners who provide an out of the box single sign on solution.  Please visit the Security category on the AppExchange for more information.  SXIP  has been proving a solution since 2004!