Huh. I thought I remember Kiran giving a really good answer to this question at tea in Berkeley, involving K3 surfaces.

EDIT Oops! David Brown points out below that I misread the question. I was answering the question of finding a smooth scheme which does not deform in a smooth family over Z_p.

Well, to make up for that, I'll point to some references which definitely contain answers. Look at section 2.3 of Ravi Vakil's paper on Murphy's law for deformation spaces http://front.math.ucdavis.edu/0411.5469 for some history, and several good references. Moreover, Ravi describes how to build an explicit cover of P^2 in characteristic p which does not deform to characteristic 0. Basically, the idea is to take a collection of lines in P^2 which doesn't deform to characteristic 0 and take a branched cover over those lines. For example, you could take that p^2+p+1 lines that have coefficients in F_p.