Yes, it's called Polyphony (if I understood you correctly this is what you mean). This is when multiple lines of melody are played simultaneously. You can pretty much pick anything by Bach and get a good example of polyphony. Or Rachmaninoff's second sonata... there are numerous more examples. It's actually not that rare.
As an example (not for polyphony) but for a harmonic progression which contains the melody take a look at this excerpt from Rachmaninoffs sonata 2 (the right hand):