I did a search on denim shoes after having the thought that they are disgusting and I have never seen any that I like. I wasn't blown away but I did manage to find some fairly decent examples. Lanvin has had a fair crack at this, probably with the most success. The closest to a really beautiful pair was the Lanvin oxfords (top.) Something that I discovered is that in order for them to not look completely nasty, the denim should be dark and contrasted with another material. This allows the denim to become more of a texture and less out-of-place. The sneakers also use this idea quite effectively but probably should not be worn with blue jeans.
Then I found this picture of denim sneakers for dogs (bottom) and thought that maybe in-fact all denim shoes should burn in hell. The jury is still out.
top to bottom:
Lanvin s/s 09 Mens via selectism
Lanvin x Acne Jeans Sneakers via denim&sole
Nike f/w 09 Sneakers via simplysneakers
High-Top Dog Sneakers via mypetswardrobe