Waterfall then Agile, or vice versa ...

First, I must agree with Sergio, because I typically resist the phrases "Agile project management" and "Agile methodology." I understand why we PMs use these phrases, but it sounds like a construction company that uses "Agile hammers" or a musician that plays an "Agile piano." I have also become very resistant to "Agile vs Waterfall" arguments.

That said, I have been in the situation described. It was supposed to be a relatively easy development project. After the work started, however, we learned that the scope was not as well defined as we had thought, and we had a good deal of research and discovery to perform.

In this case, I kept our project plan as a repository for documentation, but I created a working backlog that could be modified as we learned more about our project. I worked with the team to setup regular intervals where we could review our work, share our discoveries, and plan the next interval. The transition from one structure to another was relatively easy; the trickier part was explaining to the sponsor that we had abandoned our over-confident plan.

I can't think of a time when the reverse has been true, but if I were part of a development team and learned that a similar product had been created using a waterfall plan, I would very much want to see that plan!