Yes. I've done it before just to see what it would look like. Some DVD players can just play divx/avi/wmv video files burned onto a regular DVD+/-R disc. Or if you have some DVD software like Adove Encore or Sony DVD Architect you can actually make the menus like you see in Hollywood movie DVD's. You can make a standard template menu or make your own, though it can get complex.
Last time I did it, it was on my old computer 2+ years ago. My P4 2.8ghz northwood took literally 6-8 hours to compile the video files I had into a menu based system on a DVD using Sony DVD Architect.
It worked...
