Not that I know of, Android doesn't support this feature
There are some apps that attempt this but they don't work very well, requiring you to use the loudspeaker and not recording in decent quality.
Apparently the Korean version of the Galaxy S has this as standard, weird that the rest of us can't have it.
I currently use Tasker to record every call to SD card automatically - and no loudspeaker is involved - very cool, it just happens in the background. X10i
Only issue is it can't seem to detect the dialled number of outgoinging calls, so it saves the number of the previous incoming call instead.