The aulochrome, probably the newest addition to the saxophone family, is a chromatic* aulos made up essentially of two soprano saxes.
You can see a video of it in action here, also in which is explained some of the interesting points about the instrument. I must say I wasn't terribly impressed by the video; he spent too much of his 3 1/2 minutes just jacking around with it and not enough time seriously playing it. Some of the honks that he produced made me flinch. Still, I'd be interested in seeing/hearing a serious performance with it. It must be very difficult to play.
*Capable of playing half-steps, or semi-tones.