Fallout 3 required loading when going into any structure or subway station. Far Cry 2 does a load map when you eventually venture further south after you finish the first missions for the factions. You'd have to load going into that area and load leaving that area, they just tend to keep all the missions within that specific loaded area, but you could venture back if you wanted to.
I've never played World of Warcraft, but I thought I've seen loading screens once you get a certain distance and have to load the next block of terrain. I could be wrong, but like I said, I've never played World of Warcraft; I've seen people play it but never payed much attention to it.
My project requires terrain similar to Fallout 3, but I also don't want to have the player load each interior, and it defeats some of the proposed features of the game. Therefore, I'm going with terrain loading instead of interior loading, and most likely will use a strict set of heightmaps to ensure the terrains are seamless. I have yet to get to that portion of my project but it's something that's always on my mind.