In D&D, I once constructed a 'reverse dungeon' where players are captured in an ambush by an orc kidnapping ring and inserted into a dungeon at their lair's lowest level. The idea was for players to improvise their own escape from the cell block and move up the dungeon levels ultimately reacquiring their positionspossessions, gaining new treasure, rescuing fellow prisoners, and gaining revenge.
What Worked
This was a very detailed, and well planned adventure, particularly the cell block. There were conceivably many ways to escape. The individual cells all contained unique exploitable weaknesses, the orc guards were on the edge of mutiny, fellow NPC prisoners could be organized, shivs and other weapons could be made, and PC's had a chance to hide some of their smaller items before capture. I thought it was key that all PC's had a lot to do (not just thieves) AND that there was more than 1 correct answer to the question of escape.
What Didn't Work
I ran this adventure three times. Two groups loved it, the third despised it - when they were captured, some players actually stood up and walked out of the room (a first for me). There were two issues.
As mentioned by John Craven above, the players hated the ambush nature of being captured, feeling railroaded. An improvement would be to present the PC's with a high risk choice to make with a big reward. If they failed, then they were captured. This would make players feel more in control of their fate, even if it was a bad fate. GM's need to put as much thinking into how to run the PC's capture as their confinement.
The second issue was that the third player group was just never gonna dig this kind of adventure anyway. That group was pretty tame and uncreative. Every time my campaign presented them with something other than - open door, kill monster, collect treasure, open next door - they'd complain. The point here is know thy players. If you want to try something new, make sure your group wants something new.