Remember after In Rainbows came out and the whole world was gushing every time Radiohead made a bowel movement? Despite my cynical tone, one of the coolest things they did during this time was host a couple of live streaming concerts from their practice space. They also did live DJ sets where they showed their fans all the stuff they have been listening to.
If you have even a moderate size fanbase this can be a great thing to take advantage of and sites like Ustream.tv make this possible very easily. All you need is a camera or two and to set up and either give the site a live feed or video you have already edited together. Send out the word to your fans that you will be having a live UStream show (you can always archive it later for anyone who missed it) and promote it a little bit. If you have an awesome live show this can be a great way to show fans how great you are in this context. You can do these streams from venues or from your practice space. It doesn’t matter as long as you give your fans something cool to watch.