One reason no ones does this is that a game company (3D0?) got a patent in the last 90s on playing a game (I know their game was PSX) while waiting through a loading screen. It was broadly-written enough that they forced a Linux distro (Red Hat?) to remove a game (tetris?) that you could play while waiting on your initial system install. Sorry I can't recall proper particulars or dig up links, anybody remember more precisely?
When I was a kid, I saw a disk copy program on Apple II's at camp that let you play pong while copying disks. (So the counselors wouldn't know you were pirating games.)
"Imagine a progress bar that involved Dogbert using a mallet to pound the Pointy-Haired Boss into the ground" - I'm sorry Scott, but this just smacks too much of the hugely-reviled clippy. Treating your users like idiots might amuse a few, but will completely alienate the rest. Those of us with an IQ greater than a handful of salt might take the time (while the regular progress bar is creeping up) to do something else, more productive. Like read HN :)
The old Defender game would be perfect for playing inside of a horizontal progress bar. Instead of having a radar display, you could just have the whole planet inside the progress bar, just like you have Defender in the favicon of this website.
First post, broken patents again.
What about a little program that immediately connected you to a chat session with other people who were waiting for load bars.