Both our parents live 6-8 houes away so it's rarely done in person.
For this one, DC2 is just learning to read, so we put a "Big Brother" t-shirt on DC3 and videoed her trying to read it (it was not clear from the video what the t-shirt said) Then sent the video to them and got them to watch it whilst we were on the phone!
With DC2, I had my brother round and he's a bit of a science geek like me, so we were talking about pregnancy tests and I said "let's see what happens if you wee on one" So he went upstairs and POA-digital. I meanwhile dipped a second digital into some wee I'd saved earlier. He brought it down, I secretly swapped the one he'd used for mine. Should have seen his face when he saw that "his" test had come up "Pregnant"! Then the lightbulb moment..
I've also shown up at the in-laws 20 weeks pregnant and waited to see how long it was before they realised it wasn't pies.
Other times I've just told my parents on the phone. My mum is usually less than enthusiastic, with such great statements as "Well, it's early yet" and "Bugger" despite the fact all our babies have been planned. She is pretty keen once the baby is here, I think she is just a bit wary of pregnancy as her mother lost a baby in late pregnancy once and she remembers it all quite vividly.