I submitted a new demo to the Open Scene Graph project that shows how to set up a floating point depth buffer. The standard way to do this is to create a Frame Buffer Object and attach a depth texture with a floating point format. That won't work if you're doing multisampling antialiasing; it that case, you attach a "render buffer" that has the appropriate number of samples to the FBO. Open Scene Graph takes care of many of the details for you.
The demo shows how to set up an FBO with a floating point depth buffer, as well as the effects of "inverting" the depth test. Setting 1.0 to correspond to the near plane and 0.0 to the far plane turns out to have better behavior than the more usual way. Also, the demo allows the user to cycle between all the available multisampling modes, as well as between floating point and integer depth buffers, of course. If you can't wait for this to show up in the OSG source tree, get the patch yourself.