Assuming you mean un-encrypted homebrew or beta apps, yes. You need the WP8 SDK from Microsoft, then use the Windows Phone Developer Registration tool to dev-unlock your phone. Dev-unlock with a free account (that is to say, any typical Microsoft/Windows Live account) will only allow sideloading up to two apps at once. For $19/year, you can get up to 10 at once, though. In either case, you would then use the "Application Deployment" tool to install the XAP.
If it's an app that you *should* have gotten from the store - a game, or any paid app especially - then no. It will be encrypted with a DRM scheme that we haven't yet broken, and honestly, I wouldn't tell you how even if I knew.
Win8/Windows RT projects:
List of desktop apps for hacked RT devices
Native Access WebServer and Libraries
WP8 Interop Unlocks
XapHandler, Root Webserver, OEM Marketplace XAPs, Bookmarklets collection (Find On Page), Interop-unlock hacks.