Yes, but it does weird stuff elsewhere. I once accidentaly included HTML in the post and it worked but not quite correctly. It might have just been my blog settings at the time but things like the post slug and sometimes the permalink are all generated based upon info in the title. HTML can sometimes mess this up.
If I were you, and this were something I wanted to do, I would add a custom field to every post called Thumbnail or something. Then adjust my theme to look for the thumbnail, if it exists wrap it in HTML and then display it where you want it.
Just my thoughts on it. YMMV.