Well I maybe explained it wrong:

It might be not always worth it, but in the game I'm currently working on I am using Models and Sprites for the Interface (Buttons, Healthbar and this stuff)

I create them with ent_create(...); and then always set the position in front of the camera and change the angles so that it faces the camera.

It's much harder than 'just' using Panels... but sometimes it can look really great