They generally increase.
How much they increase, of course, is subject to a variety of factors including proximity to the stadium, market conditions, nature of the property, etc. But both commercial and residential property in cities with new stadiums like San Francisco, San Diego, and Denver (an important non-coastal market) have increased. Price per square foot marched steadily upward. Of course, they can't do that forever.
However, we are experiencing a challenging/flat real estate market here in Minneapolis, so even though the stadium has been approved and is under construction, prices have not increased much, if at all. There is definitely a renewed interest in the area, and the stadium is having a positive effect on sales.
I expect any gains to occur when the market recovers (most experts are predicting 6-9 months) and the stadium nears completion. More announced projects could have the effect of dampening appreciation, depending on how much inventory is added to the market.