Oracle provides support for nested tables and varrays (varying array) http://docs.oracle.com/cd/B28359_01/appdev.111/b28371/adobjcol.htm
PostgreSQL also supports nested tables (see for example: http://architects.dzone.com/articles/nested-data-structures-and-non ) and a number of array-related features
MySQL does not support nested tables, but there's a SET data type to consider: http://dev.mysql.com/doc/refman/5.7/en/set.html
In general, whether using these features instead of a normalised approach is a good idea or not, probably depends on your application/data