Create a permission, on a per usergroup basis, to allow users to not show ones online status "Going Invisible" has always been one of the perks for supporters on my site and on a few others that I know of.
It would be great if we could set whether or not a user can set their online status or not. It should be done by User Group permissions I think. I know there is a template edit or three that can be done, but this would be much better as standard functionality imo.