I just shout at the TV and swear a lot. Never thrown a controller or broken anything though.
One guy I played with regularly threw his controller at the tv one game, heard the screen smash over the Mic. He then picked the tv up and through it into the wall (at least that's what it sounded like) then didn't come back online for 6 months or so.
Funniest shit ever.
“There are three things all wise men fear: the sea in storm, a night with no moon, and the anger of a gentle man.”