Recording medium, method of loading ... - Google Patent Search

Short version: Namco actually owns the US patent for loading screen minigames. Which I'm pretty familiar with from all the Dragonball and Gundam games I get.

3D Dot Game Heroes, which is just one big NES/Famicom reference in itself, has neat nostalgia loading screens.

Playable 'loads' or Installs are a neat idea too. BoB mentioned FIFA, but the Japanese PS3 game Another Century's Episode R (From Namco/Bandai, incidentally) has you go through the game's tutorial while it installs the data, and you get a trophy for doing it too. Rewarding!