Yep, I've done this many times. Always in anticipation of getting the system soon or eventually. I'm pretty sure I got Guitar Hero 2 and the first Rock Band kit before I'd gotten the Xbox 360 to play them on.
Come to think of it, I have a few games for a few systems I've never gotten (yet). Atari 5200, 7800, Intellivision, Philips CDi, and like one 3DO game, I think. Just a few games, nothing massive.