The best mexican wave I've been apart of was at the cricket a few years ago, Australia vs. Sri Lanka at the SCG. Jayasuria had blasted us during the first innings and we lost both openers pretty quickly and I think it ended up being Ponting and Martyn (can't remember if he'd retired by then) at the crease. They decided the best way to chase down the huge total was to go at 2 an over for the next 45 minutes, so naturally the crowd got bored and the wave got going.
It went around the ground about 9 consecutive times in full-flight and during the last few people ended up chucking their beer cups (some still half full) into their air and onto the ground, which forced the game to be delayed for 5 minutes for the ground staff to remove it off the ground.
To be fair, crowds don't go to ODI matches to see us block it out whilst chasing a huge total (Symonds and Clarke came in later to try and get it going again but Clarke ended up running Symonds out, like he does) and likewise don't go to Rugby League internationals to see one team wrestle the crap out of the other. Who do you think left more satisfied - the 30,000 at the SFS or the 6,000 at Parra?