Okay, it isn’t the only game system that allows this, but I’ll confess that it’s one of the charms of questing in the Umbra in the Old World of Darkness (Werewolf: The Apocalypse and Mage: The Ascension).
I love the fact that in the Umbra, you can have a knife fight with Fear and Pain, and then literally grab your bootstraps and lift yourself into the heavens so you can make love to Moonlight.
Seriously. That’s epic, mythic and seriously cool. Gothic-Punk horror? Maybe not. Handled right, that sort of spirit adventure can really drive home the banality and desperation of the losing war for material reality all the more when they return home.