Yes and no...
Web Clip is for web content. You have to be viewing a web page (or web app) in MobileSafari to be able to save a Web Clip to the home screen -- URLs which can't be viewed in Safari (mail, sms, etc.) thus can't be saved to the home screen.
This doesn't mean you're stuck with HTML, though: Safari can view PDFs, Office and iWork documents, images and all sorts of other junk, and "Add to Home Screen" still works when viewing one of those. (Not that it's particularly useful...)
Also, your web content doesnt' have to be web based: if you encode your web page in a data:
URL, saving that to the home screen will give you a "web app" that's stored locally.