CAVEMAN is continuous, 2500x2500 miles in size, at 1 foot = 1 d3d unit scale. although continuous, it still draws the world terrain in 300x300 "chunks" generated as needed on the fly
I can't tell you how annoyed I've been when I've had to exit/enter a building in a city in Skyrim twice in a row, spending nearly five minutes just because I forgot to leave some random item. Something that should have taken me a minute tops, suddenly took about five times longer.
Similar to that, Minecraft does a very similar thing, and I'm willing to bet Dwarf Fortress (Adventure Mode) does something akin to that as well. (Although to be honest, that game is a scary scary enigma. Toady probably doesn't even know how it works.) Depending on your game this could be a feasible (and in some cases even relatively easy to do) option. Even if your world isn't tile based or anything of the sorts, loading the world in to multiple 'chunks' of sorts could be a good step in reducing load times if you can pre-load some of the data before you cross that proverbial boundary in to another zone. Perhaps when a player gets within a certain distance of a predefined area transition assets that are smaller and quick to load are loaded? Though, this is more of a game programming issue rather than a design one in regards to how to tackle such an issue specifically.
With the Skyrim example though, the same technique could be used, even if there has to be a hard transition because of a change of scale. Generally the world in that game is one gigantic no-load screen block isn't it? Why is there no system of detecting that the player is near one of these boundaries and make a best attempt at loading assets that they might come in to contact with in the near future? This is especially the case of shared assets.
Player enters a town for the first time and has a quest to talk to the mayor of the town. Why not load assets like common beds, interior wall textures, things of that nature? On top of that, it's reasonable to believe the player will be visiting the town hall, so why not pull out more specific stuff while they're at it? The banners and conference room chairs could be loaded as well? (Assuming there is room in memory for all this extra stuff. Nothing trumps fast loading times like low memory and slow file read write speeds)