There's no end of interesting fonts, so this is really just a catch-all category.
Kibo (James Parry) provides the following discussion of Highway Gothic:
Highway Gothic is The Font Company's name for their interpretation of the font used on most official road signs in the United States. (The Font Company added a lowercase to most styles.)
I don't think it has an official name. There is a government publication which shows the fonts (revised in the seventies to make the heights metric); I got a copy of it once, from a library specializing in transportation, and digitized Series E(M) (normal-width bold caps with lowercase, the only USDOT font with lowercase) for a special project. I don't think the specs have changed since the seventies.
Besides E(M) with lowercase, there is a slightly lighter alphabet without lowercase, and three condensed styles. I recall there was also a set of really distorted letters for use in painting vehicle lanes, plus a few symbols for bike paths etc. The alphabets included letters and digits only---any periods or hyphens you see on signs are apparently unofficial.
Don Hosek writes:
I doubt that most decorated initials can be made to work in the type 1 format because of their complexity. Color only makes things worse.
One of the best choices for medieval and renaissance decorated alphabets hasn't been mentioned yet: BBL Typographic (they have an ad on p. 39 of Serif 1). A demo disk is available for \$10, B&W alphabets are \$50 each and full color alphabets are \$60.
BBL Typographic 137 Narrow Neck Road Katoomba, NSW 2780 AUSTRALIA 011-61-47-826111 011-61-47-826144 FAX
also distributed by:
Medieval & Renaissance Texts & Studies LN G99 State University of New York Birmingham, NY 13902-6000
I know the work only from the Serif ad, but it's gorgeous there (even nicer in color, although they decided not to spend the extra money for color in their ad... only a select few in Katoomba & Claremont have seen the ad in full color). Of course Serif-related disclaimers apply.
Jon Pastor contributes:
Check out the Aridi initials, color EPS initials, available on the Monotype CD (and, presumably, on the Adobe CD as well, although they don't advertise this; Monotype did, in a recent mailing).
To which Don Hosek amends:
The Aridi initials are part of the Type Designers of the World collection and are available on the MT CD but not the Adobe CD. Adobe has their own line of decorated initials available on their CD. Also see the catalogs from FontHaus, FontShop and Precision Type.
If you want something really unique, why not hire a calligrapher. It may be cheaper than you think.
Robert Green adds:
Although they might not be on the Adobe CD, the Fall 1994 Font & Function advertises an Adobe "Initial Caps" collection of decorative initial caps designed by Marwan Aridi.