I posted a YouTube video on my music site (Rock and Roll!) which involved a 3D projection onto a castle. I thought it was brilliant. Once you start looking for them, there are a fair few examples of the same technique. I think this one raises the bar significantly:
I like the music on the Iron Man example better, and the crowd in this one seems strangely unimpressed, but the visual effects are stunning.
Do you know of any other good examples of this kind of thing?