The March 2007 issue of Medical Design features an article on Brain computer interfaces.

Here are some videos that show these devices in action:

Cyberkinetics gives a demonstration of its Brain Gate technology.
Click on "BrainGate Demo" on right side of page.
Dr. Wolpaw from the Wadsworth Center explains the electrode cap.
University of Washington researchers demonstrate how a user commands a robot to pick up objects and move them.
This video is a clip from a BBC Horizon show called Human 2.0. It features Miguel Nicolelis and research from Duke University performed on monkeys.