I have been having fun integrating the PhysX system into my engine. Originally I was going to try to make it an add on to the existing system with the use of 'controllers' (Dave Eberly Lingo), but ultimately decided that putting the reference to the physics actor in the object that the actor is simulating made more sense.
All in all, the integration wasn't all that difficult. It took about two hours to get the SDK up and running with debug rendering, then another hour or so to get engine object created and rendering all together.
Here is a couple of screen shots of my first physics entity falling on its bum: