web browsers are doing this for malware / fraud sites.

see other comments on parent for citations.

That's reactive, for passwords in cleartext it's not very useful: by the time you get the news, the damage has been done already.

At best it tells you to change you passwords before the site itself tells you.

That's a fair point. The only way it would work is if an anonymous insider reported the company before the general public knew about it. Either that or it would serve as a blacklist for companies who already made one mistake, though it's very unlikely to see them make 2 (and in Sony's case, people are still using PlayStation Network anyway).