If there's provision for it in your contract, or by mutual agreement with your employer, yes. Otherwise, no.
Of course, there's nothing to stop you simply not turning up for work but, if you take this course, the employer would be able to sue you for any losses suffered by the firm because of your actions. If you're doing a low-skilled job, such as clearing tables in a caf�, the chances of a former employer suing you for breach of contract are effectively nil. However, if you're negotiating multi-million pound deals for a company, and they lose millions of pounds because you walk out, they'll almost certainly sue you for every penny you've got. (Either way, don't expect a reference!).
Chris