The first band that comes to my mind is Pink Floyd. "Dark Side of the Moon" having people answering index cards, starting simple with "What's your favorite color" to put them at ease, and slowly getting to "When was the last time you were violent?" and flipping it over and answering the question, "Were you in the right?"

Then on "The Wall" during the end of "Young Lust", Roger adding a call from "Mr. Floyd to Mrs. Floyd". He said the first few operators hung up or didn't get it, but then he said he encountered a smart woman who understood that "There's a man in the house" (infidelity).

I think both examples are very creative. Can you think of any others?