Kind of...

What you would do is create the object (in WED or XSI...though XSI you would have a few problems with getting the geometry into WED). Once the object is created in WED you can open it in MED and save it out as a 3DS or similiar format. From there you open it up in XSI, and then proceed to use XSI's texturing tools to apply the texture (again though, I have very little experience with XSI - so I am not sure what practical problems you will need to overcome to accomplish this). You then assign your lighting and render it out as textures. Depending on what options are available this can be very easy, or somewhat difficult. From there you go back to WED and import the animated texture sequence into WED as an animated texture (as it states in the manual). When viewed in the level it will be a nice animated "light map".

You are correct, some awesome effects can be achieved through this method. And with the shaders which are coming quickly in 6.2, even more impressive effects can be achieved.

BTW - if you do not have access to a high end package, there are a number of other options which should work, though I have not had time to try them out myself.