Nice question! Short answer: Yes and no, it depends on how a device is designed.
One needs to now how a device initially boots and look at the involved components to be able to answer this question. To get an idea, here are some examples from my memory:
All newer Google Nexus devices (except the Nexus One) are pretty much unbrickable.
Most Samsung models for example have their bootloader on the eMMC chip: Brickable
To unbrick, one needs an alternative way to boot from e.g. USB to fix it (this solution exists for the original SGS i9000, but there's currently no way to do it with later models)
Sony Xperias have the bootloader in non-writable mask ROM: Unbrickable.
You could delete the whole eMMC chip and still boot into Flash Mode or fastboot mode (needs model specific key combos on boot), unlock the bootloader or use their software (PC Companion) to revive it. See Androxyde's FlashTool and Sony's FlashTool.
Raspberry Pi's have the bootloader in mask-ROM which then boots from the SDcard: Unbrickable
(Well, this is not a real Android device per se, but you get the point. PS: The Pi can be damaged by overclocking)
Some Samsung eMMC chips have faulty firmware: Brickable (source)
A way to fix it has recently been found but it's very risky and only tried by one of the devs. CyanogenMod's Wiki has more information.
The original HTC Magic had its bootloader on the eMMC: Brickable
In general: If one part of the chain is breakable (without the ability to revive it), you can brick your device. For example, it's possible to get into a catch-22 situation where no further action is possible (e.g. unlockable bootloader + broken system&recover) although the device would still boot to the bootloader.
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