not without Jailbreaking it from what I've read. there's probably a bunch of threads on this, I did some searching when I first got the phone. kinda annoying. I have a really cool chewbaca mms tone lol.
Now that tethering is here with 3.0, the only reason I jailbreak is to customize the look/feel. I have replaced sms, keyboard, lock/unlock, and voicemail sounds as well as replaced my slider.