It depends.
If you're using the stock lockscreen, only if the app supports it (and you have selected LockScreen Widgets in the settings) will you be able to add a widget to the lockscreen, but keep in mind that these are usually not the same widgets you can use in HomeScreens and you can only add one per page, or screen, and if you add several, you'll have to scroll through these pages to see each widget.
If you use a third party lockscreen, like WidgetLocker, then your lockcscreen becomes basically a homescreen and you can add any widget you can on the HomeScreen and as many as you can fit into one screen, just like on a HomeScreen.