We are investigating support for checkid_immediate. We are weighing the usability/awareness issue of not providing an interstitial to alert the user that they are logging in with their Yahoo! credentials versus the benefit of the silent signin method.
To be honest, I don't like the way Facebook auto logs in with OpenID. FB has you link your FB account with an OpenID provider, then next time you go to FB's home page, it will log you in automatically (if you're already signed in to your OpenID provider--if you're not, you don't seem to get ANYTHING). And it seems to need a cookie on each browser on each machine before auto login will work--"Hey it worked at home, why isn't it working here...?" I'm not sure how well it supports multi-users on the same browser (I'm logged in to MyOpenID, my wife's logged in to Google, one of us goes to Facebook--which OpenID is Facebook going to use for auto-login...?)
All other sites (that I've seen) require the user to enter their OpenID URL, and then be signed in (possibly authenticating at their OP first). I'd much rather see that approach. (but as a fallback, I'd rather have SSO, than not).