I was at a show yesterday and one of the demo's was doing just what you want. Shooting and then showing the pics immediatly on screens.
The Big camera makers have wireless addon's or you can use a WiFi SD card in the camera. You then need the software to download from the camera. - I think this is usually camera specific and is part of the software the camera maker supplies (or sells)
I've seen those wifi cards but don't know what they do. I'll do some research.
I'm surprised that Lightroom isn't equipped to do that. I don't see it coming out in Lightroom 3 either.