I'm pretty sure I remember someone saying (in this forum I think) that they dry hopped right in thier serving keg, but they kept the hops in a bit of nylon stocking, suspended from the top of the keg by a bit of dental floss out through the lid and tied around a gas post. The dental floss is thin enough that it doesn't interfere with the seal of the keg.
That way the amount of hopping keeps increasing as you drink the keg, and you can just crack the keg and fish it out when its gone far enough for your taste.
I've got an APA in primary at the moment that I was thinking about dry hopping this way. Good idea or bad idea??