Several banks offer various cards and keyfobs, none of them free. The only time I've actually been given such a device free of charge was when I needed it to log into my employer's VPN...
I'm in the UK. My bank provides a little electronic gizmo you stick your bank card in and it gives (different) authentication codes for each time you use online banking. That was free of charge.
some banks in the US do that; some don't. Citibank did that for me when i opened a business account with them a few years back. i just opened a Chase business account a couple months ago, and they didn't provide one.