Absolutely! As a genre, satire was invented by the Romans, and there were some very famous Latin satirists. Perhaps the most well known are Juvenal, Horace and Petronius, and their works give us a window into areas of Roman life that we would otherwise know very little about. As with all comedy, it's hard to interpret - we'll never know exactly how Roman audiences would have reacted to their work, which bits were funny and why - but it's still safe to say that this stuff is definitely satirical.

If you want to read some there are plenty of good translations online:

Juvenal (3 and 6 are my favourite) http://www.poetryintranslation.com/PITBR/Latin/Juvenalhome.php

Petronius (chapters 5-10, known asTrimalchio's dinner, are super famous) http://www.sacred-texts.com/cla/petro/satyr/index.htm