I really like how in Wonderboy V and Monster World IV, if you go into a building, it just reveals the inside of the building and hides the sprites outside it, rather than taking you into a new screen. Monster World IV in particular makes really sophisticated use of this, with multiple layers and routes that take you behind buildings to other parts of the town. It's a lot of fun, and similar techniques could potentially have a lot of uses in all sorts of different types of games. I haven't seen it a whole lot though.
One thing that does come to mind is the indoor/outdoor transitions in Launch Base Zone and Flying Battery Zone in Sonic. It's more of a purely visual effect in that instance -- the gameplay area seems to all fit into one plane -- but it's still really effective in making the level feel the way it's supposed to.

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