As @sisoft says, the simple answer is yes: there do exist file systems that support file types other than files and directories.
The longer answer, if you're interested, is that the types supported by a file system vary wildly with the file system. UNIX treats a huge number of things as a 'file' (meaning an object in the file system) and so has many types. Windows has a more restricted set of objects (files, directories and links only I believe (no source))
The POSIX specification (implemented by many file systems) for a file system doesn't specify what objects it must support(source).
Generally, file system is a fairly open term that can refer to any object store. The objects that it stores could be anything.
If you'd like to learn more about file systems, there is a great chapter in Operating Systems which gives an easily accessible introduction.