It's possible, but I would avoid it unless you have a really good use case for it. It raises all kinds of scalability and maintainability issues. Your table size is mainly limited by available disk space.
If you really need to do it...
You'll need to increase the maximum number of file descriptors that your OS will allow to have open, since MyISAM tables use two file descriptors per table. (If you're using Linux then read the section about ulimit in the man page for bash for how to do this).
Also, there's a MySQL config value called table_cache that limits the number of allowed tables. You'll need to make sure that's large enough to support the number of tables you need.
You won't want to use the standard "flush tables" anymore (unless you're the kind of person that likes to watch paint dry) so you'll need to flush each table individually (e.g. before shutdown).
Again, I would avoid using so many tables. You're probably better off making your schema support what you need in a handful of tables, and consider archiving, warehousing (or deleting!) old data if you're concerned about storing too much data.