Terminology[1] does this correctly with its own escape sequences. But, unfortunately, it doesn't actually use the escape sequences to transfer file data, even though it could. Instead it just transfers URLs, which isn't as network-transparent as I would like.
(Background: I did some research a couple of months ago into what it would take to build a graphical terminal emulator, to support a backwards-compatible network-transparent TermKit[2]-like experience.)
(Edit: Apparently the latest nightlies of iTerm2 also supports this sort of functionality, and does so properly with escape sequences.[3] Thanks, gnachman.)
[1]: http://www.enlightenment.org/p.php?p=about/terminology
[2]: http://acko.net/blog/on-termkit/ and https://github.com/unconed/TermKit