There is the redirect extension in Joomla 2.5, but I honestly haven't played with it a lot. It may be able to let you create the redirection you're talking about and then you can manually change/insert the 'pretty' URL wherever you want it. You would have to alter the SCLogin module if you're using that, but it's possible.
Unfortunately, we don't have a way to create a direct menu item to that link because it (can) change on each page depending on how your redirections are setup. You may be able to create an htaccess rule that rewrites any URL you want to the underlying 'bad' URL you don't want. I'm not great at my htaccess skillz, so I don't know how much I could help you with that.
Is the change mainly for vanity purposes, or for a specific issue you're encountering? Just curious.
Hope that helps,
Alex