The answer above is correct for default alert actions, but you can use HTML tags defined in scripts that you can write for custom alert actions.
You can view an example of a custom alert action that uses HTML tags here: http://docs.splunk.com/Documentation/SplunkCloud/7.0.0/AdvancedDev/ModAlertsAdvancedExample#HTML_fil...
To learn how to create a custom alert action, you can start here: http://docs.splunk.com/Documentation/SplunkCloud/7.0.0/AdvancedDev/ModAlertsIntro
And finally, if you want to learn how to use the Splunk add-on builder to create an alert action, this blog is a great start:
I dont think you can as the tags you add are treated as text in the mail body, and you can only use some predefined tokens.http://docs.splunk.com/Documentation/Splunk/6.1.1/Alert/Setupalertactions
If you want to make customization to this you will need to use a script or modify the default sendmail.py script.