I've done Midnight release parties for a couple of movies, and I've even done them for a few books (mostly harry potter with my sister) but I've never really done it for a video game that I wanted. The reason why I make the "that I wanted" distinction was because I did play an important part in a GameStop midnight release party for Dead Island, even though I didn't buy the game.
My friend and I were hired to make a zombie cake for the party, and it turned out pretty well. Everyone liked it, apparently the manager even put it up on the GameStop website (never checked for myself though)
But while I've never done a midnight release party for a game or anything, a lot of the times that's how I get the new Pokemon games.
I just go to walmart at midnight and ask an employee working in electronics to get it for me. It's nothing fancy, but I guess I do get the game at midnight.