Yes it is a hoax, but actually holds more truth than a lot of the misinformation circulating around the www:
http://www.breakthechain.org/exclusives/reversepin.html
It seems someone in America has patented a system to alert the authorities to an attempted ATM robbery - called SafetyPIN or PanicPIN.
The Banks haven't exactly jumped at the chance of adopting the system. Their stance is it will confuse their customers and will be unworkable, the cynic's stance is it would be too expensive.
Until such a system is in place *if* it could work I think the best advice is found in the last paragraph of the page I've linked to:
"Until the better mousetrap can be built, we have to keep our defenses up. Always be alert of your surroundings when using an ATM and look for machines in well-lit, high traffic areas. If anyone approaches you, espeicially with a deadly weapon, and orders you to withdraw cash, law enforcement experts advise to give the crook exactly what he wants, then notify officials as soon as possible after the incident."