I agree with noticing the URL change, but what's a lot more noticeable is when the look of your site changes. They're used to your site's look and feel. When you direct them to a different site, even if it sort of looks like the original site, it's a big speed bump in the flow. Makes you stop and think (hey, what's going on?!) and question if you're in the right place (did I click the wrong button?!). You may even get suspicious and leave. You'd probably feel the same if at a supermarket when it's time to take out the card and pay, within seconds the building changes, the cashier is no longer there, the door you came through is gone, the lightning is different, the people who surrounded you disappeared; only the colors sort of look the same...

This is true. But it precludes you from doing two-click checkouts on the second transaction (wink wink) and real users really don't have a problem whipping out their credit cards on a new site.