Yes, a cactus is a playable instrument. This video shows a person playing a jazzy tune on one while accompanied by a piano. Google Translate is having trouble with the website, but apparently the cactus died in 2009 or 2010, so the project is on hiatus.
Link (Google Translate) via The Presurfer
UPDATE 1/12/11: GearFuse has a lot more information about the project and the man behind it.