Yes. Game engines usually call this animation blending, though you may see some variant. Most of the higher quality engines support it, including panda3d, the udk, Unity3d, and Ogre3d. Irrlicht doesn't support it properly, though it supports simple transition animations.
When you are coding the animations like this, you generally have access to "weights." For example, if you want to walk and wave at the same time, you would attempt to put the walk and the wave at 50% for both. What happens is that for all the bones it does the walk, but for the arm that does the waving it is suddenly doing the wave, overring the walk. You could also combine a walk and run, which depending on the animation could give a sort of limp, or maybe zombie walk.