Keeping HaD mention for the record:
This would be fun to implement in a DIY, cheap way for 1.6mm 2 layer boards after the normal PCB fabrication process: with a mini CNC mill, carve little rectangles for i.e 0603 caps and resistors.
Tons of interesting implementation details I can think of, i.e: Is there a way for the .drl files to specify a precise z-axis depth on a 2 layer board (without drilling all the way down?). That way one could sort of castellate smd connections in-board... A QFN pad would be challenging to pull off though.
Not to mention the changes needed on the 3D viewer to properly visualize all this without dealing with tons of edge cases for every footprint :-!
Does KiCad run for Google Summer of Code this year? I bet some students would be eager to implement such quirky fun features