Electronic Arts tried something like this once. It was called "Majestic". [1] It was sort of a mass-market conspiracy LARP. Unfortunately, it was launched just before 9/11/2001.
Maybe the first ARG? Absolutely blew my mind as a kid. No install disk in the box. Just a sheet of instructions, a URL, and a form to fill in your email address, pager number, and ICQ number, and then you wait for the game to find you. Way ahead of its time.