I've been all over these for about a year now. Basically, people at the Somethingawful.com forums do this (there's a huge subforum dedicated to it). The site I linked to is an archive of a lot of them since the SA forums have a pretty quick rotation and only certain threads gets archived by their system (and you need to pay to access them).
I'm not going to lie - I probably spend more time reading or watching current and old Let's Play! threads than actually playing games. It seems strange, but it's pretty entertaining. Sometimes it's just a quick way to learn the mechanics and storyline of a game you are or were interested in but never played, or one you are interested in but don't want to dedicate the time to (Digital Devil Saga, Soul Nomad). Sometimes it's just pure nostalgia with commentary, and sometimes its the great delivery that carries them (or at least adds to it). Some of the people who do this are very, very good. For instance, a guy who tends to do a lot of the SMT games did a Persona 3 Let's Play, but covered it in such a way to make it seem like he was just copy and pasting a myspace journal he came across (the main character from the game's obviously). Clever shit like that really adds to it. Another great one to check out would be Boatmurdered. It's pretty well known as it brought a lot of attention to Dwarf Fortress.
The Source: SA's Let's Play! Forum
