Yes, CMP 2.x style (and earlier) entity beans can perform all the same kinds of ejb access as session beans, message-driven beans, and web components.Many people consider this kind of work unfitting for entity bean components and choose to keep them limited to representing data and defining queries.
In the new persitence API being defined in Java EE 5 (renamed from J2EE 5) , persistence entities can no longer access ejb component like session beans and message-driven beans. They exist purely to represent persistent data and define queries.
--ken