To clarify, you can go through Greensboro, NC, their other hub, rather than Columbus. They also fly out of Stewart/Newburgh, NY which is nearby CT, which is where I fly via Airtran. But as other have said, there are no official connecting flights, so you are responsible for them yourself, including retrieving and rechecking your luggage.
I am intrigued by Skybus, and may use them in the future, but WDW would be tough with their current routes. If you can get $10 per leg ticket (which is $20 after taxes), it would be $80 RT (4 legs) to St. Augustine. Factor in having to pay $5 per piece of luggage, recheck your luggage for a connection, and end up in St. Augustine where you can't use ME and need to rent a car (at a likely higher rate than MCO), it may not make sense.
What I plan on using it for is my yearly trip to HH. Rather than the 16 hr. car ride, if I can fly into Greensboro, NC, I avoid the hassle of the big city traffic (NYC through DC) and have an easy 4-5 hour drive to HH.