There is plenty of scientific and psychological evidence to back up a resounding 'YES' to this question. Our brains are very complex computers that retain and process information not only directly but also subliminally and unconsciously.
When we think of ENTERTAINMENT we usually think of something that is fun, relaxing and enjoyable. Rarely do we consider that while we're enjoying our favorite movie, TV program, video game or song, we are being 'educated' by someone's philosophy. However often times, that is exactly what is happening.