Duke Nukem can do that, too, both it and Dark Forces use portal engines while Doom is a BSP engine. With a portal engine you're not bound to a single global coordinate system, you can make things pass through each other.

Not actually a feature of the renderer you can do the same using modern rendering tech, though I can't off the top of my head think of a game that uses it. Certainly none of the big game engines support it out of the box. You can still do it by changing levels and it wouldn't be hard to do something half-way convincing in the Source engine (Half-Life, Portal, etc, the Valve thing), quick level loading by mere movement is one of its core features, but it isn't quite as seamless as a true portal engine would be.