Not quite Cg, but the material “custom” node allows you to implement your own HLSL code.
Its alittle bit awkward at the moment as you have only one input line in the details panel.
Just type the code in notepad and copy it into the field. Dont worry, it willl fit 
But Im afraid you will have no information about lightsources within materials…(correct me if im wrong)…
Cheers,
Klaus