A really basic one, but around the time the first Portal game came out Valve had quietly launched a website that emulated an old school computer terminal. If you entered the right user credentials you would gain access to the Aperture Science computer network and could explore their database and read a bunch of neat background information that connected to the Portal canon.
One of the most memorable ARGs I've seen was the one Death Grips set up to promote their album No Love Deep Web. It wasn't perfectly laid out (to this day one of the clues still remains unsolved due to a missing decryption key) but all the wild speculation and investigation it kicked off kept me glued to the /mu/ threads late into the night.