The really wild/awesome stuff with monads is when you move beyond the state monad and its subsets -- writer and reader -- and start thinking about Cont and List, and what they mean in terms of backtracking, combination and serach. I'll give more references later, but Oleg and Chung-chieh Shan's LogicT paper is a good start: http://okmij.org/ftp/Computation/monads.html
EZ Yang's adventures in three monads from MR 15: http://themonadreader.files.wordpress.com/2010/01/issue15.pdf
The answers to this question may also be of interest: Creative uses of monads
