On Ripley's the other night they showcased the PainStation, which did all the above things when you messed up in a Pong-like game. There was a pad that you rested your hand on that would heat up, zap, or flick you with a weed-wacker wire. The goal was to play well enough to force the other player to remove their hand first. The impetus for this thing were the two German developers playing games and thinking, "Wow, this is way too passive."
Guess they've never seem me gaming!
Something else to consider, what about when games get more and more immersive? Say if there is a way to actually interact with your neurons to simulate the senses? I know it sounds Matrix-y, but the possibility exists, and it brings up a whole mess with the definition of reality...