By installing "Windows Media Center 2005" this week, I just noticed that funny option as part of it, "Windows Dancer".
Well, I know that there are other commercial programs to download as a demo version. But this one is coming from microsoft itself.
It's a dancer who's displayed on your desktop when there's music around.
I'm not sure it would work on other Windows versions. You can try anyway. Here it is:
http://www.microsoft.com/windowsxp/downloads/desktop/dancers.mspx