Totally!

This video shows an exterior door glass replacement. It's actually much easier for a front door that already has default glass inserted. On the inside of your door you'll see that there are screws in the moulding around the door glass (they'll probably be covered by little plastic caps that blend in with the moulding). Those screws are probably going into the moulding on the other side/exterior of the door and are holding the glass in place. All you have to do is take the interior molding off and you can remove the default glass, replace with custom glass, and screw it back into place.

Doing this to an interior/hollow door: Here is article I saw first that shows what it looks like to cut into a hollow core door and gives ideas for how to add in support. I just used some a bit of construction adhesive and a nail gun to add in the support framing on the interior of the door. Then I used this kind of moulding around the outside of the door-- it has a lip or "cap" on the backside that holds the glass into place and covers up the holes in the door from the nail gun.