America's Army Development was paid using the funds from the Department of Defence, thus giving the developers all the money they needed to buy a license for the Unreal Engine, hire art teams and to make the game completely free. The expansions they are making are also all free.
Anarchy Online is commercially funded, since the main game (not the expansion) is filled with Real Life Advertisement, which the companies pay money to FunCom to cover the normal purchase costs and subscription fees.
Last I heard, Matrix Online was also getting Real Life Advertisement but I don't know what effect it has to us gamers...
Recently Stainless Steel Studios shutdown due to lack of money while they were in the middle of developing Rise & Fall: Civilizations At War, now the project is transfered to Midway. The original developers are now not allowed to see what Midway is doing to their project, which could spell doom to the gameplay. This could have been avoided if game developers were funded by the goverment or commercial industries.