1. No redirect
Either you have the login form on every page (a small one) - or you can display the login form instead of the page text if the login is required. You need more then a small box to fit in all the currently broadly used options like OpenId or logging in via Facebook - so for a universal solution you need a full page. Let's focus on displaying the login form on a page requiring authentication instead of that page content. This is a very simple solution - would it break any of the HTTP protocol rules? But then wouldn't displaying the error message saying 'Login required' break the same rule?
2. Passing the current url in the link to the login form
The minus of this solution is the ugly url of the login page. I also read somewhere that in some implementations there is a security problem - but I cannot find now any reference about it (it was something about crafting the uri param in a way that resulted in two http requests when the redirection was done).
3. Saving the current url in the session
Additionally to all the problems with sessions (and for example multiple tabs open to the site), there is a slight efficiency disadvantage if we do that for each link to the login page, because the session then needs to be saved every time. If the session is save to the database I imagine that this could have a slight impact.
4. Using the Referer HTTP header
This would also be quite simple - but can we rely on it? Additionally it would also require passing that url from that header back to the form for the case when the first login attempt fails. This can be done with hidden field - and since everyone uses POST for the login form method this would not spoil the login page url (or it can also be done with a session - but this time the session would be saved only in the case of a failed login).
This would only work if the user followed a link from the current page to the login page (presumably displayed together with the authentication required error message). But actually it is better to automate that step and:
5. Redirecting both to the login page and from it
This still requires saving the current page in the url (as in 2) or in the session (as in 3) - but without saving current url in the session at every page containing a link to the login page. It can also be combined with 4 if additionally to this mechanism we want to have have links to the login page that would lead the user back to the original page. From the user perspective this is as convenient as 1 but might be a bit more clean from the technology perspective (see Dave's comment below - although is 303 more correct here?). Anyway - this is the solution used by CatalystX::SimpleLogin (and Catalyst::ActionRole::NeedsLogin).
Updates: Added 5.