Actually, the vamp might be the only one I can think of. You'll know the vamp if you've seen Johnny Cash biopic Walk the Line: at the start of the movie, Cash's band get up on stage and begin playing the intro to 'Cocaine Blues' as the man himself (played by Joaquin Phoenix) ruminates in a backroom and meaningfully plays with a circular saw. This is a vamp. Obviously, it's a pretty long one as the film opens in media res with the vamp and cuts away to the life story before Phoenix emerges on stage (we finally see this happen about an hour and a half in; it's pretty cool.) Anyway, in less extreme cases- and in the one I've just outlined, the vamp is being used with a high degree of narratival self-consciousness anyway- the technique is just a way of building tension before the centrepiece of the performance comes on stage. The Fall do good vamps, playing for four of five (or twenty-five, on a bad day) minutes before Mark E. Smith appears to harangue the audience.
Anyway, it's a slightly harder concept to apply to written fiction. In film, there are a number of good ones. Of course, we all know from the promotional materials that, at some stage in Batman Begins, Christian Bale will become the caped crusader himself. That doesn't stop it being exciting when he's revealed in all his rubbery glory. You get it in the pre-credit sequences in Bond films too - You Only Live Twice is a prime example. In terms of words on the page, the best example I can think of right now is 'The Adventure of the Empty House', which is the Sherlock Holmes story in which the missing-presumed-dead hero does not unmask himself to Watson until halfway through the story.
Anyway, I'm trying to collect literary vamps. Let me know if you can think of any good ones.