We can do that in theory, but there's not a lot we can do yet that is terribly useful in practical terms for the purposes you are discussing (ignoring medical gene therapies). Plus the whole "laws against that sort of thing" situation gets in the way.
We can make flourescent chickens, fruit flys with eyes on their legs etc, so theoretically we can manipulate ourselves as well. However we need to know a lot more about interactions between genes before we go meddling with such a complex system in humans.
What kind of changes would you consider to be advantageous? Extra arms, faster oxygen processing, that sort of thing?