I've seen a few games advertise other games (such as recently when I played Star Wars: The Force Unleashed and there was a trailer for Fracture on it, another LucasArts game), but it is pretty uncommon outside of yearly installments like EA's sports titles. I think it has to do with the fact that these games all start and finish at different times than each other, so it's difficult to have a marketable trailer or demo on a game in progress ready to go when an earlier game ships. To be honest, though, if I see trailers in the "Extras" section of a game menu, I usually just ignore them. I have GameTrailers.com for my preview needs. A demo would be a different story, but that's very rare and I only know of a few games that have done it (such as the legendarily awful [though in hindsight fitting] demo of FF XII that came with Dragon Quest VIII, as well as the demo for Metal Gear Solid 2 that came with pre-orders of Zone of the Enders).
You also start getting into issues of storage space when you start including trailers and demos on your discs. First and foremost, you have to have space for your own game, and that tends to fill up extremely quickly so there's no room for anything else.