Make:

If you're familiar with the audio spotlight, then you now how very awesome narrow beam ultrasonic speaker devices can be. They can project a sound efficiently over long distances without spreading like common speakers. One can essentially walk into the ultrasonic line-of-fire and begin to hear sound abruptly - certainly an interesting effect.

Though not much for documentation & details - this instructable shows off a transducer packed parametric speaker design. Hrmm, it seems the author is selling kits and sharing a good deal of info here. Apparently this setup will introduce a substantial amount of distortion to your signal - ultrasonic audiophiles be warned. - How to make parametric speaker