Michael Yon posts a video from Baghdad of the not-very-secret but sensitive C-RAM (Counter Rocket, Artillery, Mortar) gun system engaging an incoming round. Yon has apparently taken a few rounds himself for talking about C-RAM, a land-based adaptation of the naval Phalanx anti-missile gun, although open-source documents are available on the US Army and Raytheon's (pdf) sites. For more on its specialized self-destructing round, see GD-OTS (pdf).
Keys to the video: first, the sound of the gun (variously compared to ripping linen or the after-effects of a Taco Bell binge) is followed by the image of a line of M940 tracer rounds in the air. Next, the rounds can be seen self-destructing, five seconds and 2300 feet downrange, with the sound reaching the recorder a couple of seconds later.
[Editor's note: I couldn't get the video to work on Yon's site, so here the audio, at least]