It's not a widespread practice, but it's more common than I expected when I started looking into it. EatWild[1] maintains a directory of meat and dairy farmers that sell directly to consumers, they seem to have most of the US covered. Anecdotally I've also purchased humanely raised meat/eggs through CSAs that aren't listed here and offer smaller amounts than an entire animal.
[1] http://www.eatwild.com/index.html