AFIK, no; You can only set one time zone for the start of the event and the end.
So, if you need to enter an event like a travel by plane, starting in one time zone and ending in another time zone, try this work around: enter the departure and the arrival as two separate events, then you can set the proper time zone for each of them. This way iCal will do the date calculation for you, and you see both the departure time and the arrival time correctly in the calendar grid.
If not, why?
Send feedback to Apple, the more, the merrier! http://www.apple.com/feedback/ical.html
I've been dealing with this for months and can't believe Apple doesn't care about people who travel with their products!
The sad part is that both the Mac and iPhone support this feature in their calendar database format but Apple just hasn't bothered to allow users to set it!
I found workarounds for Mac and iPhone. BusyCal for OSX lets you specify different start and end timezones as does Pocket Informant on for iOS.
Why hasn't Apple fixed this yet? I hoped 10.8 would finally do it but apparently not