It has a few meanings, yes.. It can mean:
interesting/intriguing/good (e.g. Phim này hay quá = this film/movie is so interesting/intriguing/good)
or (e.g. A hay B? Bạn chọn cái nào? = A or B? Which would you choose?)
to become aware of sth (e.g. Bạn có hay chưa? = Have you heard/become aware?