I never have been on a treadmill while gaming; however, I used to balance on an indo board while playing. I got pretty good at balancing when playing really low key games, like Hexic HD. Anything else and my balance would be shot. This was about 10 years ago...
I now play while on an elliptical. I can play games with a little more action than the indo board without falling over. The closest I've come to falling off the machine was during an intense section of Hotline Miami. Lately I've been playing Pixeljunk Shooter without a balance issue.
The best part about it is that the time just melts away. If I'm not playing a game, 20 minutes feels like an eternity, but when playing, an hour will go by in what feels like 5 minutes.