Through a complex series of adapters, a Tech Inferno forum user has managed to get a chunky Nvidia GTX 570 eGPU working on an 11" Macbook Air. At around 3.4 pounds, the graphics card weighs more than triple the laptop itself, yet can support graphics through the Thunderbolt port.
Larry Gadea goes from a Thunderbolt to ExpressCard adapter, then from an ExpressCard to PCI-Express adapter, into finally into the Nvidia chip. It requires Bootcamp to use, but the gameplay in the below video looks flawless.
He notes that any video card should work with this method, and the GTX 570 was just what he had - but using top-of-the-line cards won't give you as much of a performance increase, because of the slower PCI bus.
There are a lot more notes on the project over at the Tech Inferno forums.