The register on the Wiki site reports two $500 notes as having been in recent auctions, and a third referenced by the Charlton catalogue. The upcoming Torex auction includes a fourth that is not yet on the register. The rest are in the National Currency Collection.
I just got the catalogue for the Torex auction (Feb. 25-28th, 2010). The serial number of the fourth note is A00313.
There is also one face proof and one back proof of the 1935 $500 note, which are being estimated will sell for about 4x the book value in Charlton's 22nd ed.