http://en.wikipedia.org/wiki/Image:Interpolation_example_linear.png

http://en.wikipedia.org/wiki/Image:Interpolation_example_spline.png

http://www.garycmartin.com/phoneme_examples.html

http://www.jgiesen.de/ColorTheory/RGBColorApplet/rgbcolorapplet.html

http://www.renderman.ru/2translate/cade_maths_files/smoothstep.jpg

http://www.quantdec.com/SYSEN597/GTKAV/section9/exb/interpolation.gif

http://www.mlahanas.de/CompGeom/vor1-Dateien/image016.jpg

http://www.euclideanspace.com/maths/algebra/realNormedAlgebra/quaternions/slerp/index.htm

http://www.theory.org/software/qfa/writeup/node12.html

http://number-none.com/product/Hacking%20Quaternions/index.html

http://www.gamedev.net/reference/articles/article1095.asp

http://number-none.com/product/Understanding%20Slerp,%20Then%20Not%20Using%20It/

Doug Moore, Cornell, '89
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Since no one else has mentioned this, I guess I will.  Why not use quaternions,
rather than rotation matrices, to represent your rotations?  Quaternions on
the unit sphere and 3-d rotations are isomorphic, and quaternions don't require
the redundant storage and calculation that 3x3 matrices do.

A quaternion may be thought of as an entity of the form , where s is a
scalar and x is a 3-vector.  Multiplication of quaternions is given by
 *  = .
A unit quaternion is one that satisfies s*s + x dot x = 1.  A unit quaternion
may also be thought of as a rotation of angle 2 arccos s about the axis v.  To
rotate a vector v by a rotation quaternion q to get a vector w, use the
formula <0,w> = inv(q) * <0,v> * q, where inv(q) * q = <1,0>, and inv()
= .  Or, if you prefer, form the equivalent rotation matrix

1 - 2 (x2*x2 + x3*x3)     2 (x1*x2 + s * x3)     2 (x1*x3 - s*x2)
2 (x1*x2 - s*x3)         1 - 2 (x1*x1 + x3*x3)   2 (x2*x3 + s*x1)
2 (x1*x3 + s*x2)          2 (x2*x3 - s*x1)      1 - 2 (x1*x1 + x2*x2)

and use that.

The basic algorithm, then, to display vectors V = 
rotating by q every frame is

rot = <1,0>
do-forever
	R = rotation matrix associated with rot
	DISP = R * V
	display all vectors in DISP
	rot = rot * q
	norm = rot.s * rot.s + rot.x1 * rot.x1 + rot.x2 * rot.x2 + rot.x3 * rot.x3
	if (abs(norm - 1) > tolerance)
		norm = sqrt(norm)
		rot.s = rot.s/norm
		rot.x1 = rot.x1/norm
		rot.x2 = rot.x2/norm
		rot.x3 = rot.x3/norm
	endif
enddo

That's the general idea, anyway.  For a less terse exposition, see 
Ken Shoemake, "Animating Rotation with Quaternion Curves", COMPUTER GRAPHICS
Vol 19 No 3, pp. 245-254.

Incidentally, similar quaternion techniques can be used for 4-d rotations.
I haven't been able to get a handle on higher dimensions, though.