the teaser trailer for x2 with the metal turning into the logo was the danger room
EDIT: check it out http://www.fox.co.uk/trailers/xmen2_teaser_hi.html
well, i always thought that for movie 3 they will start off with a danger room sequence only the audience won't realise it. The x men could be seen fighting new villans like sinister and they could even put the sentinals in it too. That way we could see loads of new mutants use their powers. It would be one hell of an opening scene and would completely fool the audience. Then it would cut and the danger room turns to normal
BUT
Half of that could only happen if the danger room in the movie uses the illusions like in the old animated series and comic books 😬