I was always very fond of the Menger sponge. I built my level 4 sponge manually, not by using a recursive script. You can find a Python script for blender here. Here you will find some renders. I started with a simple lighting, did some reflection afterwards and finally changed the material to glass. Finally I changed the lighting to a two colored one and moved the camera inside. You can play yourself – take the blend file from here (nearly 2,5e6 triangles, 113 MB).
Concerning the headline: The Menger sponge is a strange thing. When the level goes towards infinite, the area does too but the volume goes towards 0. Tip on the side: Do not try to imagine this sponge