You may have read about the Alternate Reality Game launched by the Nine Inch Nails' record company. It's brilliant. I totally agree with Gareth too: bands, labels, some films and even film characters (Borat) are doing the most inventive marketing that I'm seeing.
But the story wouldn't be complete without a clueless institution mucking things up. The RIAA and lawyers in Europe have been ordering participants who are posting material to pull files down from their own weblogs. So participants are helping to spread the word, and then getting fined for it.
Someone fire the lawyers!