On Sunday, June 14, in New York City, there was a Math Midway as part of the World Science Festival's street fair. The web page refers to it as a "traveling exhibit" so maybe it's coming to somewhere near you?
This is the first exhibit mounted by the Math Factory, which will be a full-scale museum of mathematics, incorporating the collection of the now closed Goudreau Museum, which was housed in a couple classrooms at a former school. This is the brainchild of Glen Whitney, who got a PhD in math, worked for a hedge fund for some time, and now is devoting himself to this museum, according to this article from the New York Daily News. Here is a list of exhibits they're planning and an interview about the museum that Whitney did in April in the oddly named online magazine gelf.
I found out about the midway from Quomodocumque and the Daily News article from My Biased Coin.
Incidentally, I'm not sure I like the name "Math Factory" for this museum. Factories are generally not pleasant places, and in addition they won't actually be manufacturing mathematics there.