Whether these stories are true or not, one story that almost certainly is true is that Paganini's first violin concerto, which is generally performed in D major, was originally written in E-flat major, but Paganini wrote the solo part in D major and simply tuned his violin a semitone higher to give it a more strident tone. (This, of course, was just yet another instance of Paganini showing off what a great violinist he was and/or thought he was.) The orchestra parts were originally written in E-flat major, but to the best of my knowledge it has always been recorded in D major. (Anyone know if it has ever been recorded in E-flat major?)
Our first piano was tuned to a 415 Hz A (id est, the pitch used by many Baroque period instrument orchestras), and at times I used to transpose pieces up a semitone so that they would sound on our piano as they did on my teacher's piano, which was tuned to a standard 440 Hz A. Never anything as difficult as the Grieg piano concerto, though (the only Grieg I knew back then was a simplified version of 'In the Hall of the Mountain King'!).