Kind of. Lights, sounds, & particles can all be saved via their respective editors. You can modify ragdolls & there's a console save command for them (type "save" then hit tab to view them).
I tried spawning a monster in a test box, enabling g_dragentity 1 & clicked it, then typed "saveselected". I then reloaded the map & the monster was there. Turns out I used a Cherub and it's origin was under the floor so it wasn't in the room. An issue arrouse when I killed all the monsters in the room ("killmonsters" in the console), spawned another cherub in & then saveselected that guy. Reloading the map caused a "duplicated entities" error because it reused the name of the first cherub I removed via "killmonsters."
So, yes, you can. Just be careful.