What is the best way to notify a user after an access_control rule redirects?

So after quite a bit of research, I found the right way to do this. You'll need to use an Entry Point service and define it in your firewall configuration.

This method will not mess with your default page settings specified in your firewall config for logging in.

The Code

security.yml:

firewalls:
    main:
        entry_point: entry_point.user_login #or whatever you name your service
        pattern: ^/
        form_login:
        # ...

src/Acme/UserBundle/config/services.yml

services:
    entry_point.user_login:
        class: Acme\UserBundle\Service\LoginEntryPoint
        arguments: [ @router ] #I am going to use this for URL generation since I will be redirecting in my service

src/Acme/UserBundle/Service/LoginEntryPoint.php:

namespace Acme\UserBundle\Service;

use Symfony\Component\Security\Http\EntryPoint\AuthenticationEntryPointInterface,
    Symfony\Component\Security\Core\Exception\AuthenticationException,
    Symfony\Component\HttpFoundation\Request,
    Symfony\Component\HttpFoundation\RedirectResponse;

/**
 * When the user is not authenticated at all (i.e. when the security context has no token yet), 
 * the firewall's entry point will be called to start() the authentication process. 
 */
class LoginEntryPoint implements AuthenticationEntryPointInterface
{
    protected $router;

    public function __construct($router)
    {
        $this->router = $router;
    }

    /*
     * This method receives the current Request object and the exception by which the exception 
     * listener was triggered. 
     * 
     * The method should return a Response object
     */
    public function start(Request $request, AuthenticationException $authException = null)
    {
        $session = $request->getSession();

        // I am choosing to set a FlashBag message with my own custom message.
        // Alternatively, you could use AuthenticationException's generic message 
        // by calling $authException->getMessage()
        $session->getFlashBag()->add('warning', 'You must be logged in to access that page');

        return new RedirectResponse($this->router->generate('login'));
    }
}

login.html.twig:

{# bootstrap ready for your convenience ;] #}
{% if app.session.flashbag.has('warning') %}
    {% for flashMessage in app.session.flashbag.get('warning') %}
        <div class="alert alert-warning">
            <button type="button" class="close" data-dismiss="alert">&times;</button>
            {{ flashMessage }}
        </div>
    {% endfor %}
{% endif %}

Resources:

• AuthenticationEntryPointInterface API
• Entry Points Documentation
• Security Configuration Reference
• How to Customize your Form Login
• Why access_denied_handle doesn't work - thanks to cheesemacfly for tip

I think a kernel.exception listener and setting a flash message can do it. Untested example:

use Symfony\Component\HttpKernel\Event\GetResponseForExceptionEvent;
use Symfony\Component\HttpFoundation\Response;
use Symfony\Component\HttpFoundation\Session\SessionInterface;
use Symfony\Component\HttpKernel\Exception\AccessDeniedHttpException;

class My403ExceptionListener
{
    protected $session;

    public function __construct(SessionInterface $session)
    {
        $this->session = $session;
    }

    public function onKernelException(GetResponseForExceptionEvent $event)
    {
        $exception = $event->getException();
        if ($exception instanceof AccessDeniedHttpException) {
            $this->session->getFlashBag()->set('warning', 'You must login to access that page.');
        }
    }
}

Don't really know if it works or if it's the right thing. You can register it as kernel.event_listener. Or maybe it's better you wright a dedicated service and set it as the parameter of access_denied_handler in the firewall config. I think there a many possible ways.