Yes, some of them you can.
If the file is coming from a cloud source [like YouTube or SoundCloud], you can preview it by clicking on the play button for a given file in the Actions column in your search results.
If a file is coming from a BitTorrent source [like Mininova or TPB], once you start to download a torrent, check the first column "Actions" within the Transfer list. If the torrent contains audio/video files, after the download makes some progress FrostWire will show you the icon to "Preview" the files so you can have a chance to cancel the download in case the content is not what you expected.
You can always click on the direct link to the source of the file in the Source column to find out more about the file. This is especially useful for BitTorrent sources, as it will allow you to read the file description and user comments about that file.
If you are downloading a .torrent file, you can click on the + sign in the Actions column to see what files are included in the specific torrent package. From there, you can also select which specific files you want to download from that package if you are not interested in all the files.