Yes, but you'll need to insure you select the "Track number of times this link is clicked" option for each document you wish to track / report (this option is selected by default).
 

Here's an example of how to use a free SQL reporting module to create your own "helper module" (just add a query in module settings):
 
   Create a "Most-Commented Blogs" module (with clickable links):
   http://www.eguanasolutions.com/DNN_Blog/EntryID/13.aspx

Note that you can place such a "SQL" module anywhere on your website (even a different portal on the same DNN instance).  The linked site above uses the "Most-Commented Blogs" example on its homepage.
 
 

To create a "most-clicked documents" list:
Using the module mentioned in the linked post, you can plug in the following SQL in the SQL module's settings:
 
  SELECT   Documents.Title AS Title,
           UrlTracking.Clicks AS Clicks
  FROM     UrlTracking INNER JOIN
           Documents ON UrlTracking.Url = Documents.URL
  WHERE    UrlTracking.ModuleId = {your DOCUMENTS module ID here}
  ORDER BY UrlTracking.Clicks desc
 

Once you have that working you can add additional HTML to make the document list clickable (see example in the linked post, ablove).
 
 
Cheers!
-mamlin
 

Big thanks to Mamlin and Mitch for pointing me in the right direction, not sure on which one is the accepted answer since I had used both their queries to achieve the results i was looking for.

Here is the modified query for Top 5 downloads for my site.

SELECT     TOP 5 d.Title AS [Title], t.Clicks AS [click], t.Url AS [url]
FROM         UrlTracking t INNER JOIN
                      Documents d ON t.Url = d.URL AND t.ModuleId = d.ModuleID
WHERE     (t.PortalID = 0) AND (t.TrackClicks = 1)
ORDER BY t.Clicks DESC

Thanks once again