You could say Andy Warhol pioneered the whole art / music crossover thing with the creation of his �Exploding Plastic Inevitable� and his involvement with The Velvet Underground. His shows mixed projections and light shows of his art with the band performing their non-commercial brand of music, featuring sado-masochistic themes and tales from the underbelly of life.
The Velvet Underground have been cited as influences by musicians ever since, from David Bowie, Sonic Youth, and The Jesus & Mary Chain to the more recent White Stripes.
As for sponsorship? � Warhol died in 1987.