Multi-megawatt electric heaters don't cost much. In fact, I could make a backyard megawatt power sink in an afternoon for just a few hundred bucks. 1 mile of 22 AWG bare copper wire strung through the air should do the job. When turned on, watch the whole lot glow red hot like a big space heater.

The reason people don't do this is that the cost of a grid interconnect (the paperwork, approvals, etc.) outweighs the profit from the very short periods of time the price really is negative.