Northwest has become famous for that; although I know Delta does this as well. Example:
I was on a NW
flight from Baltimore to Detroit with continuing service to Milwaukee...the first segment was on a A320, and the second was on a 757 leaving from gate on the opposite end of the airport...
Two weeks ago I was on board Delta's 5:40 AM
departure from Detroit to Atlanta, continuing on to Charleston, SC
...not until we arrived (on-time no less) into ATL
did the flight crew indicate that in fact, passengers had to deplane that MD
-88 and go to another MD
-88 at a different gate, while our plane turned around and headed back to Detroit of all places...which i found weird. Additionally the 767 flights to/from Florida have continuing segments to places like Las Vegas, Salt Lake City, Boston, etc, and the segments frequently are on different aircraft (might both be 763's but not the same 763's)
Can be confusing when a 'direct' flight is not really a direct flight- I believe airlines do this to preserve flight #'s but there is no difference to me between a 'direct' flight with a change of equipment and a connecting flight...