This tends to happen when you're using one generic logon form, but you're explicitly specifying the Controller and ActionMethod (which is causing a form post, but losing the querystring)

Just to clarify, this is what your code should look like in your BeginForm:

Html.BeginForm("LogOn", "Account", new { ReturnUrl = Request.QueryString["ReturnUrl"] })

EDIT: This is by design as RickAnd mentions in comments below. However it doesn't allow for the UI pattern of being deep in a site, clicking on LogOn, then returning to the page you were previously on, if it allows anonymous users. It's a commonly requested pattern. David Allen's approach to LogOff would also work nicely for a clean redirect at LogOn.

Maybe you don't include the ReturnURL parameter into you login form's action attribute, thus posting to a URL without that parameter?

Try the following:

        public static MvcForm BeginForm(this HtmlHelper htmlHelper, string id)
    {
        string formAction = htmlHelper.ViewContext.HttpContext.Request.RawUrl;

        TagBuilder tagBuilder = new TagBuilder("form");

        tagBuilder.MergeAttribute("id", id);
        tagBuilder.MergeAttribute("action", formAction);
        tagBuilder.MergeAttribute("method", HtmlHelper.GetFormMethodString(FormMethod.Post), true);

        HttpResponseBase httpResponse = htmlHelper.ViewContext.HttpContext.Response;
        httpResponse.Write(tagBuilder.ToString(TagRenderMode.StartTag));

        return new MvcForm(htmlHelper.ViewContext.HttpContext.Response);
    }

First ensure you have set the login url in the web.config, Next, ensure your Signin Form does not contain anything like action, for example:

View:

If you specify action you will always get null for return url:

Controller:

[AcceptVerbs(HttpVerbs.Post)]
public ActionResult SignIn(string userName, string password, bool? rememberMe, string returnUrl)
{
}