Perhaps the example that has gotten the most press in the past is when the U.S. DoD tried to set one up, and got blasted for it (by the leftist mob, incidently), resulting in the resignation of retired Admiral John Poindexter.

"In July 2003, the U.S. Department of Defense publicized a Policy Analysis Market and on their website speculated that additional topics for markets might include terrorist attacks. A critical backlash quickly denounced the program as a "terrorism futures market" and the Pentagon hastily cancelled the program."
http://en.wikipedia.org/wiki/Prediction_market

"The presumption was that in many cases, intelligence derived in this manner would be more accurate than that obtained through traditional means (see Figure 1, from the original PAM web site). Initially the site was to be confined to political economic, civil and military futures of the key Middle Eastern countries of Egypt, Jordan, Iran, Iraq, Israel, Saudi Arabia, Syria, and Turkey, and the impact of U.S. involvement with each. A typical bet would involve issues such as whether the United States would pull its troops out of Saudi Arabia (Coy 2003), or whether the Egyptian currency was likely to fall by 20% by the end of the year."
http://www.ccc.nps.navy.mil/si/sept03/terrorism.asp