The Gateway to the Spanish Main module has the option of starting the PCs out as POWs on a sinking ship who get rescued by the USS Consitution. It even includes a nifty starting equipment table for various bits and pieces of gear that a POW may have.
I ran game where the players started out in a Warsaw Pact POW camp and had to bust their way out. I thought they were getting bored in the camp so I HOG'ed them and helped out a little bit, but as it turns out they had the most fun trying to devise ways of escape.
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