We do it. And we do a very cheesy job with it, but it kinda fits our persona. We use the intro to "The Final Countdown" (instrumental part only) and there's a voice over from the guitarist recorded on there (although his voice is altered) announcing our band and thanking everyone for coming out to "Club X". The whole thing lasts about one minute, maybe a little less, and in that time we get ready to go. When it ends we immediately hit our first song.
Not really sure if it goes over or not, honestly. But yeah, we do that. We've never gotten a bad reaction with it, but then again we've never gotten a good one either.
Jerry A.K.A. "Thumper"
Schecter Bass Club Member #290
Owner Of A "Basswave" Carvin SB5000
Country Bassist Club #1
Mediocre Bassist Club Member #788
Carvin MB Combo Club Member #3