Transmit Pi... precisely

Python, 138 bytes

q,r,t,i=1,180,60,2
while 1:u,y=27*i*(i+1)+6,(q*(27*i-12)+5*r)//(5*t);print(y,end="");q,r,t,i=10*q*i*(2*i-1),10*u*(q*(5*i-2)+r-y*t),t*u,i+1

Implementation of http://www.cs.ox.ac.uk/jeremy.gibbons/publications/spigot.pdf.

CJam - 48

3.1o{1YAZ2*:Z#*{_2$*2$2*)/@)\}h*]:+sX2*:X>X<o1}g

This calculates π as 2*sum(k!/(2k+1)!!) with greater and greater precision and at every step prints a bunch of digits from where it left off.

You can try online a modified version that does only 8 (outer loop) iterations and prints 512 digits, or use the java interpreter for the real thing. On my laptop it gets to 16384 digits in about 6 seconds.

Note: this program is very memory-hungry; a better behaved but slightly longer version is:

3.1o{T2AZ2*:Z#*1{@2$+@2$*2$2*)/@)1$}g;;sX2*:X>X<o1}g

Explanation:

3.1o              print 3.1
{…1}g             repeat indefinitely
    1YA           push 1, 2 and 10 (Y=2, A=10)
    Z2*:Z         push Z*2 (Z=3 initially) and store back in Z
    #*            calculate 2*10^Z (2 from the formula and 10^Z for precision)
                  this is the term for k=0, and the earlier 1 represents k
    {…}h          do-while
                  at each iteration, the stack contains: terms, k, last-term
        _2$*      copy the previous term and k and multiply them
        2$2*)/    divide the previous number by 2*k+1
                  this is the current term of the series
        @)\       increment k and move it before the current term
                  the current term now serves as the loop condition
                  so the loop terminates when the term becomes 0
    *             multiply k and the last term (0), to get rid of k
    ]:+s          put all the terms in an array, add them and convert to string
                  we obtain an approximation of π*10^Z
    X2*:X         push X*2 (X=1 initially) and store back in X
    >X<o          print X digits starting from the X position

GolfScript (81 chars)

1:i:^3{3i):i*(.(*3*.@*.5*3$27i*12-*+@^*:^5*/.print^*2$5i*2-*--\10*i*2i*(*\10*.}do

Online demo (that's much slower than a reasonable desktop, and has trivial code changes to loop a finite number of times).

I have, of course, used the spigot algorithm which I mentioned in an earlier comment, but it took me a while to golf it to my satisfaction. The algorithm as presented in Gibbons' paper is (pseudocode)

q = 1; r = 180; t = 60; i = 2
while (true) {
    u = 3*(3*i+1)*(3*i+2)
    y = (q*(27*i-12)+5*r) / (5*t)
    print y
    r += q*(5*i-2)-y*t
    r *= 10*u
    q *= 10*i*(2*i-1)
    t *= u
    i += 1
}

The GolfScript above is equivalent to (pseudocode)

t = i = q = 1; r = 3
while (true) {
    u = 3*(3*i+1)*(3*i+2)
    i += 1
    r *= u
    t *= u
    y = (q*(27*i-12)+5*r) / (5*t)
    print y
    r -= y*t - q*(5*i-2)
    q *= 10*i*(2*i-1)
    r *= 10
}

which saves some characters in the initialisation and in the stack management.