Hi Mats, that's probably a good idea. Maybe the sign in feature could be embedded in the page too, or at least a link to take them to sign in.
By the way, with the following key you can configure the forgot password page to include the site menu too, if you don't want the user to have that "stranded" feeling.
<add key="HideMenusOnPasswordRecoveryPage" value="false" />
Jamie