There's an entertaining Spanish film called La Habitación de Fermat (Fermat's Room) which deals with this.
"Four mathematicians who do not know each other are invited by a mysterious host on the pretext of resolving a great enigma. The room in which they find themselves turns out to be a shrinking room..."
I was at the Escape from the Moon Base [1] in SF two weeks ago and it was a lot of fun. I went with some coworkers, but I'd also recommend going with friends, and would definitely participate again.
The puzzles are fairly challenging (no one in my session of 30 teams/180 people) finished with an entirely correct solution, so it's satisfying when your team solves certain parts.
It's interesting how much LARP ideas are beginning to diffuse into general culture. Lastly I was talking to someone who basically organized themed mini-LARPs for corporate teams. Since these are audiences who generally aren't familiar with the medium, they're always amazed.
I think as our natural environment continues to become safer and more virtualized, these immersive adventures and ARGs will become more popular and mainstream.
It's not exactly the same, but TrueDungeon has a similar premise of "a small group of people attempts to figure out puzzles together to get through something".