I´ve noticed that there are compound words like 오랫동안 and 어젯밤 that have a 시옷 between the original words (maybe also the case in 소릿값).
Is there a proper name for this grammatical feature? And are there also other examples of this happening in Korean?
It's called 사이시옷, a way to express 사잇소리 phenomenon(which itself is written with 사이시옷, btw). 사잇소리 현상 happens very frequently, with or without 사이시옷. Here are some examples with 사이시옷:
나무 + 잎 = 나뭇잎
제사 + 날 = 제삿날
비 + 물 = 빗물
하교 + 길 = 하굣길
시계 + 바늘 = 시곗바늘
Things get really confusing when we delve into this a bit more. For example, when 사잇소리 phenomenon happens in sino-Korean words(ie words written with Chinese characters), 사이시옷 is not used. So even though 사잇소리 phenomenon happens in 개수(個數), you don't add 사이시옷 and write it as 갯수. But there are 6 exceptions where you can add 사이시옷 even though it is sino-Korean, namely: 찻간(車間), 곳간(庫間), 셋방(貰房), 숫자(數字), 툇간(退間), 횟수(回數).
Since these are 'specified exceptions', you can't apply them elsewhere; for example, 전셋방 and 기찻간 is wrong and should be written as 전세방 and 기차간, though they share the same Chinese characters as 셋방 and 찻간 specified above. What's more, 사잇소리 phenomenon itself isn't regular; it occurs in 존댓말 and is written with 사이시옷, but this is not the case for 반대말, even though the composition of two words are almost the same.
These kinds of irregular changes are overwhelming even to native Koreans. I'm pretty sure most native Koreans would not know exactly when 사잇소리 phenomenon happens, not to mention when 사이시옷 is explicitly added to express it. You just have to look it up every time it happens. For foreigners learning Korean, just knowing that 사잇소리 phenomenon exists would be more than enough.