Yes, you can get a lot of power gain. Keep in mind, though, that MOSFETs and JFETs have essentially zero gate current, so they can also achieve enormous power gain.
Darlington Pairs have another undesirable characteristic, they have a Collector Emitter drop of .6 to .7V. This can add to some serious wattage with large currents, and their Base Emitter drop is 1.2-1.4V.
Sziklai Pairs do the same thing as Darlington's, but only drop .6-.7V Base Emitter. Other than that they are pretty similar to a Darlington, including the .6-.7 Collector Emitter drop at saturation.