Well, normally it works. For example, log out of this site now, then go to the URL http://moodle.org/mod/forum/post.php?reply=911653. You should be redirected to the login page, and then once you have logged in, redirected to the form to reply to the post this message is in reply to. Actually, because of the way this particular site is set up, there is one extra screen asking if you are sure you want to log in.
So, it can be made to work, and the fact it does not work in your case may be a bug. To make progress, you would need to track down why it works here, but not on your site.
One cause might be the authenitcation plugin you are using. Which auth method are you using? I cannot think what else might cause the problem.
If you want to look at the code that should make this work, search the Moodle code for "$SESSION->wantsurl".
The other way you might be able to diagnose what is going on is to use a tool like the net tab in Firebug to examine all the HTTP requests that go back and forth as you try to log in and get redirected somewhere afterwards.