Yes, and the great thing is you can use the link to refer back to the other.
There are two ways to do this.
Creating a new linked item
From the swipe menu in the list of Events or from the top of the object detail, tap/click on the ToDo or Note icon. This will create a new ToDo or Note that is automatically linked to your event. It's a great way for taking notes during a meeting.
Linking to an existing item
Tap/click on the 'link' icon from the top of the object detail, then type in a search word or words to locate the item you'd like to link to.