What happens when you connect an Android phone to another Android phone? I've just connected my HTC Butterfly to a Galaxy Note 3 (micro-USB to female USB -> Male USB to micro-USB)... 

And nothing really happened. What is supposed to happen? Am I able to view the other phones' storage, and vica versa? It did say something regarding keyboard(s), assuming it thought it was a keyboard?

I've been doing a couple of tests, using file manager, trying to transfer files, play music, etc... But nothing seems to work.

Is it possible to transfer files like that? (Not that it's handy; I just want to know if it's possible.)
Yes, it is possible to transfer using an OTG cable. But you require at least one of the phones to support OTG, and it is better explained here. The phones mentioned in the post are Xperia and Micromax. I am sure it will work with the rest of the OTG-supported phones too.