What is the context of the question? Without more context it is very difficult to become more specific than Jeroen already was.
If you want to include HTML in your XML, sure, that's possible, just go ahead and do it.
But, if your output needs to be processed by an XML parser, it will have to be well-formed XML and things get stickier. Valid HTML is not valid XML. Sometimes the parser has some HTML leniency features built in (e.g. XSL processors). Or maybe you can use xhtml, which is essentially an XML-ified HTML. Or you could escape the HTML markup (> and < ) so that the HTML is just plain text, not XML.
If your output is processed by an XML parser, that is. You don't say.
Furthermore, if it's processed by a validating XML parser, it needs to be valid XML. If you cannot escape your HTML markup you will have to use XML namespaces, since your (x)HTML and your XML probably come from different vocabularies.
Again, you don't really see if it needs to conform to any XML DTD.
For information on all of the above, by the way, see
http://www.w3c.org. Now this answer may not mean a lot to you, or be very useful. If you could be more specific about your needs, it might be possible to help you better?
Success!