Yes, they have built-in features that can make some fields to be modified directly from the admin panel. If a theme has advanced settings then you should be able to see them at Appereance->Theme Options , or other links under Appearance tab in administration panel.
Any functionality that can be added to your site by using a plugin can also be add to your site by being included in the functions.php file of your theme. So it's possible for a theme to change not only the look of your site but also add extra functionality such as calendars, forms, sliders, anything.