Some RDBMSs support recursive CTEs, which come in handy sometimes. SQLite added support earlier this year, and I've written a handful of recursive CTEs to traverse DAGs in the database. I was blown away by how quickly SQLite can handle queries like that!
A few others: SQLite, Oracle, PostgreSQL, DB2, HSQLDB.
And SQL Server.
Everything except MySQL?
Recursive CTEs are part of the SQL:1999 standard and actually make SQL into Turing complete language. I didn't realise SQLite had implemented CTEs, let alone recursive ones...I'll have to play :)
DbFit (http://dbfit.github.io/dbfit/) provides a more heavy-weight, but much more scalable alternative to raw SQL for testing CTEs.
In SQL Server, CTEs eventually slow down then temp tables win because they can have indexes.