Also, on the 20D (at least my camera, firmware 1.1.0), setting the camera to continuous shooting does not turn off the mirror lock-up.
It annoys me a lot.
There is just one thing that makes it slightly better than destructively distracting, and that's the fact that when I press "menu", at least "custom function" is already selected, and entering there puts me right at mirror lock-up, because that's where I was last. So it's "only" the following steps to disable:
Menu, set, set, turn wheel, set.
Of course, if I was shooting with auto-bracketing, I'd have to go to two different menus to get a sensible configuration for hand-held shots again.
This way of handling the user interface ruined some wedding shots, when a friend was taking images because I was the best man. He had to change to one of the non-RAW modes in order to take images at all (because he couldn't find what was doing that mirror lock-up in the menus, no wonder ...), was thoroughly distracted, and unfortunately the white balance was way off in the few pictures he had a chance to take.
Canon needs to fix the user interface for mirror lock-up. And auto-bracketing.