Actually going through objects is almost impossible with HL coding, and would take special coding and likely only work for certain objects.
But perhaps if an attack really nailed you, you could go flying into the ground, create an explosion soot effect, and go skidding along the ground. It would be a cool effect.
Oh, plus with the particle system you can kick up dust when you slam down and skid along!
But again, actually going through most terrain would likely be impossible in HL (unless you made your entire map outta squares of breakable terrain maybe, which would lag like crazy and take FOREVER to map).