Definitely! Most shows have an option to send them a message on their website and are happy to hear from you.
Here is a full list of the shows: http://www.foxnews.com/shows/index.html
If you're on Twitter, feel free to "tweet" at our different hosts as well. They've often got Twitter open while they're on the air. Here is a list of all our on-air talent: http://www.foxnews.com/on-air/personalities
You can also reach out to them via Facebook.