Most modern games use various tricks to minimize or eliminate loading screens, with varying degrees of success. Common ideas include using low-quality assets for far-away objects, dynamically replacing them when the player gets closer; creating assets that can easily be reused; and making the player wait in a small room or hallway while the next area loads. Sometimes this can backfire, as with the infamously slow elevators in Mass Effect, which are timed to always take as long as the worst-case load time for the area they're linked to.

TV Tropes has a list of examples: http://tvtropes.org/pmwiki/pmwiki.php/Main/DynamicLoading