Yes, you can, and depending on what you're offered, you might save a ton of money. Watch out for fees though.
Back when I still did debt, I got a crappy finance deal through the dealership - within a month I rolled that into a credit union loan with a dramatically lower rate. Within another month I found an even better deal and rolled it again, all with no fees. As I recall with the two moves, my interest rate went from ~13% to about 5.9%. Not bad.
Of course, the ultimate would be not to finance the car at all, but to pay for it in cash. But I'll save that for another post.