"Entering the Nether" and the accompanying sound effect have been absent since 1.3.1.

In version 1.2.5 and previous versions, when you entered the nether in singleplayer, it would display the text "Entering the nether" and play a sound effect. In 1.3.1 and after, because of the addition of the internal server for singleplayer, this effect went away.

Videos demonstrating the issue:
1.2.5 Nether Portal: https://www.youtube.com/watch?v=-g_ezbLJlRs
1.3.1 Nether portal: https://www.youtube.com/watch?v=6DmlJ48zN_0