I think it is like this pretty much everywhere but the US. At least it is in France, UK, and Japan, and the US are the only country I have heard so far where you don't have to get a master before a PhD.
Australia too. Though you have to have done an "Honours" degree which is an additional year with a research thesis that is roughly equivalent to a Masters by research. You can also have done a Masters though to get into a PhD if you didn't do Honours.