You're so right about citrus peel. Incidentally, I've made my infusing life easier with
this serrated peeler -- the serrations grab onto the rind and make it possible to remove just the top layer in big strips. Takes about a minute to do an entire lemon.
I was talking with a wine maker who also plays around with infusions, and he said his most successful one lately was orange and saffron. I plan to give it a try soon.
Interesting about the cucumber. Have you ever been to the Orbit Room in SF? Last time I was there, the head bartender, Alberta, had a gin infused with apple and cucumber that was just fantastic. She used it in a Pimms-based drink that blew me away.
I had a rather embarrassing experience with an infusion I made several months ago. I used a big jar that I'd previously made refrigerator pickles in, and although I couldn't detect a thing when I poured the vodka in and added the tangerine peel, the result was a very weird combination of tangerine, cucumber, dill and allspice. It was almost good -- in fact, if it were lemon instead of the tangerine, it probably would have been great -- but it was really just weird.