With dynamic lights, yes. With lights placed in WED, no.
Simply create invisible, passable, entities, with the light flag set, and the lightrange greater than 0 and RGB values greater than zero (at least in one component)
Like this:
action light()
{
set(my,INVISIBLE | PASSABLE | LIGHT);
my.lightrange = 300;
my.red = 200;
my.blue = 0;
my.green = 0;
}
creates a red light.