The New York Times wonders about the possibility of a brokered convention for Republicans in 2008--though it puts a dower spin on the effects of such a convention for Republicans. See also David Freddoso's article on the possible roads to this brokered convention for Republicans; Freddoso thinks that a brokered convention could benefit Republicans.
It seems to me that, the more likely people think a brokered convention could be, the more likely a brokered convention will be. After all, even if you're running a distant third in the delegate count, you can still, under a brokered convention scenario, play the kingmaker--so why don't you stay in as long as you can to strengthen your hand? The more candidates stay in, the more likely they are to collect enough votes to keep a single candidate from having a sufficient majority.