Is it possible with SQL Server 2008 to have a Partioned Tables with an Identity Column? I'm not thinking of using it for the partition function. 
I just want to know, if it is supported or not.

Don't tell me why it is not a good idea to use such columns on partitioned tables.
I would never tell you it is a not a good idea to use an IDENTITY column on a partitioned table.

Including an IDENTITY column in a partitioned table is supported.