Creating a custom addon

Under Administration > Modules & Services
I was wondering if it possible to create your own custom module/addon (like Analtyics, Ecommerce, etc) and be able to install/uninstall it?
If yes, is there any documentation?

Have a peek?
http://www.youtube.com/watch?v=NdGPDztjvLQ

Indeed it is, have a peek
http://goo.gl/K1iiwL