I have two:
http://www.tiffany.org/
Fan site about the singer Tiffany. Her various managers (she's changed management a few times since I started the site) have on occasion contacted me, always positively in tone -- like asking me to put up an announcement they wanted to get out, or asking if I could get hold of some of her memorabilia needed for a photo project.
http://www.tatiana.info/
Site about the Latin American singer / TV host Tatiana. She likes it so much that she includes the URL in her personal email signature, and even had the record company print it on her CD along with her official site URL. So it's got her approval even though it's technically an independent fan site.
Thus far, I've yet to be sued, threatened, or challenged regarding any domain I own.