Sure you can... http://sheldonbrown.org/gunnar/index.htm

Though I can't imagine what good reason there would be to so. Other than being Sheldon, of course. And there are drawbacks, namely the pedal threads being backwards. So, rather than being self tightening, the pedals will be self loosening. That might be a good reason for using Loctite on pedal threads.

Oh, and despite all the advice to do so, I will most definitely not be Loctiting my pedal.