Indeed. My brother and I played starcraft using the same trick. When the fight started to escalate and there were hundreds of units fighting, the lag got really really bad, but it worked well enough that we kept coming back to it. That and Warcraft 2, Heretic, Hexen, all the rest. The best days in gaming IMO.
Quake 1 (original DOS version only) supported null modem, but Quake 2 didn't -you had to use a null modem with Windows 95 dial-up networking, which was a bit more tricky to setup.