Done quite often, and can be a great design feature. However, there are several VERY important things you must do:
1) Use synthetic frame material: vinyl, fiberglass, even aluminum. NO wood.
2) Use tempered glass within 60" of the shower floor surface. This is a code requirement pretty much everywhere in the US.
3) Get some form of obscured glass for at least the portion below shoulder height; you won't want to have a shade in the shower.
4) Make sure the interior side is flashed during installation per typical exterior detailing to assure that any moisture which manages to get in behind the frame will be forced back out of the wall to the frame edge or if you have tile, over the tile paper backing.
5) If you tile to it, use silicone sealant at any juncture of tile to frame, and leave one or two weep holes under the sill to allow trapped moisture to weep out, or silicone the base on the interior to assure it weeps to the exterior. (see flashing)
6) If you want to trim it out traditionally, use plastic lumber. NO wood, no matter how well you think it it can get painted, it will not last.

It's a great feature, but success is in the details!