I noticed this well thought-out post today from Chris Anderson at the Long Tail (which is a blog I've been meaning to read for some time now). It's on what Lego has done with their website, marketing campaign, demographics and mail order campaign to create a great two-way system of service for their customers.
Although Chris really likes the Death Star (which I have to admit is darn cool), I'm a fan of some of the historical Lego sets, like the Baron, here. Actually, everything in their sculpture category is pretty neat.
Another thing Lego does online is correct erronneous uses of their trademark. Try going to www.legos.com and see what happens.
This is further discussed at here(although they fail to note that the user is actually being redirected to the main site)