I'm doing an art project for school and the theme is interlocking.
Do you know any famous artists who have incorporated interlocking into their work?
Please list
Awarding best answer

Escher? look at these ...http://oneparticularwave.files.wordpress.com/2006/11/escher.gif and http://www.portlandschools.org/CTS/GrantsProjects/moulens/newtoncar/images/student/escher.relativity.gif and http://www.geocities.com/williamwchow/escher/lizard.htm
M.C. Escher has uncommon visions and intuitions. Many of Escher's drawings contain mathematical ideas never seen elsewhere. One of the things that he did touched me deeply - the interlocking shapes of people, birds and fish which repeat over a flat surface with no gaps. This group of drawings are not his best contribution to mankind, but it is art for me because it stirred my imagination immediately. This is something I can understand as an engineer and I think I can develop these ideas further with computer graphics. The mathematics behind the interlocking shapes on a flat surface was established by Heesch and Kienzle in 1963. The following discussion is limited to regular pattern in a flat surface.
do a google seach and you will find loads on him, i would deffinatly look at his work in the first instance, but i think everyone will come to this conclusion so dont dwell on him too long (hes a bit like dali too popular, examinaters will get bored.
William Morris might work too, he was sort of involved with a british art movement known as the pre-raphaelites but more so with the arts and crafts movement. he designed many wallpapers etc that could be interesting to look at. probable his most famous is http://en.wikipedia.org/wiki/Image:Morris_Acanthus_Wallpaper_1875.jpg but from personal experience again dont dwell on him too long as it is "forbidden territory" for modern artists but well worth a mention to show you have done your research.
another good artist to look at would be sculpture Arthur Silverman, heres a link to his online gallery http://www.artsilverman.com/gallery/main.php
good luck!

Escher, is one of the best as you have been told already
http://images.search.yahoo.com/search/images/view?back=http%3A%2F%2Fimages.search.yahoo.com%2Fsearch%2Fimages%3F_adv_prop%3Dimage%26fr%3Dks-ans%26va%3Descher%26sz%3D&w=842&h=850&imgurl=www.cord.edu%2Ffaculty%2Fandersod%2Fescher_development.jpg&rurl=http%3A%2F%2Fwww.cord.edu%2Ffaculty%2Fandersod%2Fescher.html&size=254.9kB&name=escher_development.jpg&p=escher&type=jpeg&no=19&tt=124,000&oid=becd3349b3e4ff68&ei=ISO-8859-1

try looking up illusions on a search, for more by other artists