Yep, there's a couple of ways you can do this, though you don't mention your guest OSs or how you intend to manage this shared disk.
A common reason to do this is to support MS Clustering, for this you can easily create a couple of small ~1GB LUNs, expose them to all hosts ideally with the same LUN # then add them through a second SCSI controller to your VMs as Raw Device Mappings (the RDM you mentioned), these VMs will then see and have full control of these two new LUNs, you simply then use your MS Cluster setup to format the disks with NTFS and MSDTC will look after the disks to ensure writes are arbitrated. Use one for the Quorum and the second for the MSDTC files (you may be able to combine these, I'm not an MS expert sorry), if you're using this setup you may well need one or more additional shared LUNs setup in the same way for storing data/logs etc. depending on your app. You can do pretty much the same thing for Linux guests but ensure you're using a cluster-aware file system such as OCFS2 otherwise you'll corrupt your disk almost instantly.
Another option is to create a .vmdk and use the 'independent' option when creating, there are a number of limitations this brings with it but we'd need to know more about your use-case before going into them too deeply.
Feel free to come back to us with more detail but your answer is basically yes, it's very possible.