Your question is a lot like asking "can I throw several foods together into a bowl and have an edible dish?" The answer of course depends on what "foods" you use.
In this case, what exactly does "audio file" mean to you? There are many different container formats and codecs available, each with different capabilities. Whether they can be "wrapped" and "tagged" depends on which ones you use.
As mentioned by the Doc above, mpeg-based formats can generally be simply concatenated together because their codecs and containers are granular in nature. The combined file should play just fine. However, the metadata of the catted files, and the playing time in particular, may not perfectly match the exact nature of the contents.
If you're interested in mp3 files in particular, then you might check out mp3wrap, and it's inverse, mp3splt.
http://mp3wrap.sourceforge.net/
http://mp3splt.sourceforge.net/mp3splt_page/home.php
OTOH, also as mentioned, containers like wma and avi, to take another example, are non-granular and only have a single header block at the beginning of the file. Catting two of them together would usually only cause the player choke when it hit the second one.
On the gripping hand, I believe flac has a fairly flexible metadata system, with the ability to specify index points inside its stream. I suppose that would allow for multiple tracks to be combined. I'm not to familiar with how it works exactly though.
There are also file combinations like bin/cue or flac/cue, where the sound data is stored in one binary file and the meta-info describing the tracks it contains is stored in a separate text file.
Finally, even when there is a technique you can use, you often have to ensure that all the files have the same basic format, sample rate, and other parameters. You can't usually mix&match without converting everything into a unified format.
