ARG IDEAS I HAVE SEEN: (OR thought of)

Telephone answering machine (leave or retrieve a message)
SMS / MMS message
webcam (real or fake)
video
postcard / letter
download install program
codes /decode phone number, next clue, name, url, address.
flash page.
fake web sites
special clue cards (purplex city) could be a book, CD cover, (launch medium)
TV ad
fake survailance cam (why on the web?? should be real)
map grid reference (coded.. place name an anagram??)