Only in the Browser/Chrome, not from the app.
Really? I could have sworn I did this using my prior HTC Dinc awhile back.
If you go to any one of your pictures inside the official FB app you can bring up the menu and click more. You should see an option to set as profile picture.
Sent from the greatest HTC EVO 4G ever made!!!
The only thing under my "More" when I have a photo open is "About" "Logout" "Edit Caption" and "Delete Photo."