There was a concept from Disney a few years ago that used puffs of air (like smoke rings) to add sensation to holograms.
http://www.disneyresearch.com/project/aireal/
There was also a project at the University of Utah a couple of years ago that was using images of fingernails to detect finger forces (including direction) on any surface.
http://www.cs.utah.edu/~jmh/Fingernail/