Custom arrowheads can be added to Illustrator.
Edit the file arrowheads.ai according to the instructions in it. It can be found here (or similar on your system)
\Program Files\Adobe\Adobe Illustrator CS5\Support Files\Required\Resources\en_GB
The following was made using 4 strokes, 3 of which have a my new custom arrowhead:
I love the new arrowheads interface, however:
When I create an arrowhead, then save and close the file, the next time I open it the arrowhead is now a separate (but grouped) object, and is a filled shape with no stroke. This is really annoying!