Except for the earlier fighting games (e.g., all versions of SFII before SSFIIT), it exists in most games, and is usually done using some semblance of the throw command. All that is required is good timing, and the players will be put into a mutual stun time, though oftentimes the game rewards one of the players with a shorter recovery from this.
In some versions of throw escaping, the consequences cannot be entirely avoided, just reduced; it all depends on the game in question. In SFIII or in most of the KOF series, a throw escape basically puts both players on an equal footing, but in SSFIIT, the damage is merely halved.
In most games, throw escapes do not apply to command throws.