I notice in some games (like Garry's mod) that when you go inside a model and look at the back of the material you don't see anything. You just look straight through it?

Can you do this in opengl? Will it speed it up? How do I do it?

Thx in advance.

This is called "culling", you can cull either the backface, the frontface, both or neither.
Google for the apropriate gl functions.

And yes, it will speed it up.