Southwest has some of those, I was once on a BOS-MDW flight and they said those continuing on to Dallas Love could stay onboard. They announced the flight as "Southwest 1234 from BOS to MDW with continuing service to DAL"

I remember as a kid going on family vacation to FL, we would take ATA from MDW to RSW with a stop in St Petersburg FL where we could stay onboard the B727 or go into the terminal for a bit. Very Pre-9/11...