hi mate, sure there are. In my time i've seen some that have wind sounds, some that have a built in waterfall sound feature. I've seen a few that have a built in smoke machine and others that make the experience quite shockingly electric (talk about bringing in a spark). The latest one that i have seen, you can plug a video monitor in and it even has over 1000 Karaoke songs. lol but seriously, if a mic needs to have the gimmick of built in effects then it is not a good mic. All Puff no Guff
The only thing I've ever seen was a toy microphone made from plastic that had some sort diaphragm attached to a spring that ran the length of the body. It was kind of cool and surprisingly energetic for something that wasn't amplified. It was sort of a primitive reverb, but it tended to ring like a bell. It also resonated over a narrow range of frequencies so it sort of combined a vocoder sound as well. It was kind of bizarre and you would still have to mic it to use it.
I bought one for $6 at a Pic-n-Save (aka Big Lots). I have to say that it looked better on my wall in its display packaging -- a great source of amusement for those working in my old 80s 4 track 'studio' -- than it worked, which was a staticy crackle (I guess you could call it instant super-ultra-lo fi).