On the Sega Master System there was an entire game in the ROM -- Snail Maze (the walls and floor reminiscent of the company's logo). Pressing up-left and both buttons while turning on the console with no cartridge in the slot would start the game.
On the Macintosh Classic, there's a whole OS boot disk image in ROM that can be activated by booting with the keys "command option X O" held down (X-O was the code name for the machine). These are the remains of a prototype for making a diskless terminal Macintosh. It comes in handy if you've hosed your boot disk somehow.