The book [*Directional Statistics*][1] by Mardia and Jupp discusses concrete examples of distributions on:

1. Surface of the unit hypersphere
2. On Stiefel Manifolds
3. Maybe some others



  [1]: http://books.google.com/books?id=PTNiCm4Q-M0C&dq=directional+statistics&source=gbs_navlinks_s