In the Quake series of games, this is the method by which you can go a little bit faster than someone who simply runs straight in one direction. This originated in the QuakeWorld modification to Quake (1). You could run in one direction and continually jump to give yourself a little more velocity. In Quake 3: Arena, you need to run diagonally (hold forward and one of the direction keys) and continually jump. This can give you a great advantage when you are running away from a newbie with the bfg, or when you are trying to come at a player from a unexpected direction.

Not as effective as continual directed rocket jumps, but quite a bit more sane if you are playing with self-damage turned on.