Jacqueline Humbert, Brainwave Etch a Sketch, 1974.
Details in Tom Moody‘s blog, via rhizome.
More brain-wave activated pieces: Communicating with electric fish, Double Bubble, Wave UFO, Inner Force, Biometric Barman, The Brain Bar, Cyborg rats to the rescue, Interactive Brainwave Visual Analyser, etc.
See also a recent article in The Economist about brain-controlled games and other devices which should soon be on sale.