You can, but the support is only optional. I don't know why, but if you use recent gnome notification-daemon and that standard (black, I believe) theme, it escapes the markup. In fact, it already shows all the text in notification in bold, no matter what you do. I have no idea why, that small HTML subset is directly supported and used in GTK+, so they actually had to explicitly filter escape it, otherwise, it would work. Older notification-daemon themes allowed it. (Example: http://i.imgur.com/gaLvt.jpg)
