I've seen it happen on the green and in the fairway. The funniest one I've seen though was this year, playing in a club tournament.

One of the guys I was playing with hit his drive on a par 4 hole where there was a blue spruce about 30 yards in front of him, between his ball and the green. It shouldn't have been a problem, but he hit his approach thin, a line drive straight into the tree. The ball bumped around and then trickled out, still about 3 feet on the wrong side of the tree.... or so we thought. When he walked up to the ball, he saw immediately that it wasn't his ball. We looked around, and finally found his about 9 feet up, stuck in a forked branch. When his ball went in, it hit another ball previously lost in the tree, knocked that one out and replaced it in the tree. That was one of the strangest incidents I've ever seen on a course. He ended up having to declare it unplayable, knock it out of the tree, and take the penalty drop.