Super Smash Bros. Brawl had a decent idea, with the sandbag fights while you wait for online battles. It wasn't much, but it was better than just waiting.
Rayman Legends has a loading screen where you can see Rayman running across a little silhouette world, but you can take control of him if you want (not much to do, but loads are never more than about six or seven seconds anyway).
VALV[sup]E[/sup] games get a big fat F in this regard because of engine limitations. Since its inception, the Source Engine has been unable to do anything during load screens, and even simple things like a progress bar in Left 4 Dead or the fancy robot animations in Portal 2's co-op mode are quite a stretch for it. It's quite a shame, really, because in a more modern engine, linear games like Half-Life 2 wouldn't have to have any load times at all once the game is started. Actually, adding support for asynchronous loading is my single biggest hope for Source 2.
P.S. Thanks