Yes. If you have the source code to the app you want to add, you can build and go using XCode from the SDK. The simulator will save any apps that have been run this way.
If someone else has a simulator app you want to add, they can give you a copy out of their Library/Application Support/iPhone Simulator/User/Applications/*/ directory, and you might be able to put it in yours.
The simulator only runs Intel code, so you can't use it to run any ARM code apps built for the iphone and touch, such as the ones running on the device or in the App store.
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