Absolutely. My cd collection has Rachmaninoff next to the Ramones, Bach next to Chuck Berry. I enjoy classical and baroque music.
Lots of rock and even metal musicians like and appreciate classical music, and even have had classical training.
Check out Yngwie Malmsteen. He began the neoclassical metal style of guitar (along with Richie Blackmore), and he based his solos on Nicolai Paganini's violin Caprices.
Malmsteen rules!