A few years ago, Winnipeg built a fire station right in one of the parclo loops on one of the few urban interchanges that exists here... at first it seemed a bit awkward, but it works, and it has the benefit of putting to use what was a fairly large empty space in a convenient site.
The truly curious can see it here:
https://goo.gl/maps/88rxLCQCdMq
There is also a trumpet interchange just east of there that also has buildings in the loop.
The rest of Winnipeg's handful of interchanges are not particularly wasteful when it comes to space... most of them are in outlying areas where space is fairly plentiful. Even the larger highway interchanges on the Perimeter Highway like the one 1ajs posted are not particularly unwieldy.