Depends on the pedal. Many pedals can be overhauled, in a similar manner to hubs (or old bottom brackets, for that matter). If there's a dustcap on the outside edge of the pedal you can pry off, you should be able to tighten up the nut on the inside. That probably won't solve your problem, but it might make you feel better.
What you'll probably have to do is pull the outside nut off and tighten up the one inside it. Then hold the inside one in place (needle-nose) while tightening the outside one.
And what you'll really probably have to do is pull the whole thing apart, clean, relube, and reassemble.