Oh yeah, I actually wondered about that after I posted :) I was on the fence about this, but all the examples I can find use CUDA, so I guess CUDA is the way to go: http://www.google.com/search?q=flame+fractal+on+GPU That makes sense, because it's more about huge matrices (flames are just big histograms) and less about textures on polygons.
Yes, there are CUDA implementations such as flam4, but I'm always interested in new possible approaches to the problem, since I'm writing a flame editor and CUDA doesn't play all that nicely with it.
http://en.wikipedia.org/wiki/Fractal_Flames
Loved that video, though.