Here's a snip from the Wikipedia entry for KLF:
From the outset, they adopted the philosophy espoused by esoteric novels The Illuminatus! Trilogy, gaining notoriety for various anarchic situationist manifestations, including the defacement of billboard adverts, the posting of prominent cryptic advertisements in NME magazine and the mainstream press, and highly distinctive and unusual performances on Top of the Pops. Their most notorious performance was at the February 1992 BRIT Awards, where they fired machine gun blanks into the audience and dumped a dead sheep at the aftershow party. This performance announced The KLF's departure from the music business, and in May 1992 the duo deleted their entire back catalogue.
With profits earned from KLF, Drummond and Cauty created the K Foundation, with a mission to subvert the contemporary art world.
Among the hijinks that ensued: an alternative art award for the worst artist of the year, and burning a million British pounds in cash (about $1.8 million US at the time), which represented nearly all of their pop star earnings.
The odd process leading up to that torching, and the burn itself — which took place on a Scottish island in the summer of 1994 — are documented in the film K Foundation Burn a Million Quid.
You can watch that on the youtubes, in five parts, starting here: Video Link. Update: Thanks to the many BB readers who pointed out that the whole film is available in a single, less crappy quality, downloadable file on Google Video: Link.