I was against shorteners for a long while, but you can't argue against the fact that it lets you fit more in your message when you have a character limit to deal with, such as with Twitter, identica, FriendFeed, etc. I try to restrict my use of shorteners to microblogging. When following shortened links, I just use common sense and take into account how much I trust the source of the shortened URL. In practice, this has worked very well for me.
Every major website should have their own URL shorter. People would be more willing and trusting to click a random link found on Twitter if it's from Gizmodo's short URL rather than bit.ly.
"Then again, people shouldn't click random links."
What does this even mean? The web's primary use case is clicking random links as defined in some context. Shortened links rarely show up in a tweet without any defining context.
No need to build a new one every time; services like http://totally.awe.sm let you set up a URL shortener on any domain. (Disclaimer: the founder is a friend of mine)
And before you say "it's trivial, I could build that in a weekend" I suggest you try it; there is a lot of hidden complexity in something so simple, especially at any kind of scale.
I understand, from looking at this when I first came across twitter, that there is a well established protocol for using multiple text messages to send a single message.
Couldn't they in any case have a convention of putting a hash mark (#) for the URL when texting and then sending URLs in subsequent messages, each message being serially (by time of sending) matched with a # mark?
The concern for me is that they disguise the original URL and if the shortner ever ceases to exist the context of a lot of microblogging posts will be lost for ever.