Forrester’s social media analyst Jeremiah Owyang provides a nice overview of brands which have attempted social media marketing using fan pages, widgets etc.
In a nutshell, activities – like fan pages – need to encourage communication and community building within the social network, not direct them offsite (because, presumably, it interrupts users’ conversations and communication).
One nice example is an Alicia Keys fan page, which revealed exclusive news, events etc. Fans are driven to join, debate, sign up to events, share and so on. I’m assuming this has a lot to do with why and how fans think – such as playing one-upmanship and showing other fans how much of a bigger fan you are.