I'm not a gamedev myself but have played a few games (Stormworks, Garry's mod with Wiremod, From The Depths, at least one or two more which I can't think of the name right now) that allow PIDs to be used in player-designed contraptions. Quite useful for building stabilised gun platforms and things.

I would be sure there's plenty of applications for PIDs in a game engine itself - a quick search turns up things like self-balancing physics objects, making game entities turn to follow a mouse pointer, and so on.