|MadSci Network: Astronomy|
The answer to that is a "maybe." It depends on what you want to do and what asteroid you pick. Asteroids are actually a diverse population, not unlike people. Some asteroids are beleived to be little more than loose piles of rubble held together (barely) by their own gravity. Others are probably solid rocks and still others are probably mostly metallic. The latter type of asteroid would probably make a great candidate for hollowing out and making into a spaceship. The 'solid rock' type might work, although I'd be a little worried about air leaks through the rock. The loose rubble piles are a no-go, clearly.
Now there is the question of just what you can do to such a spaceship. Moving any peice of rock or metal which is that large would take a lot of power. More than we currently possess. (Reference note, we probably couldn't deflect an asteroid from striking Earth right now. Or, at best, we barely could.) So if you wanted to jet around the solar system, the asteroid approach isn't such a great one.
If, however, you just wanted to fly around the Sun in a space colony, the asteroid could work just fine. There are a number of asteroids that orbit near the Earth, if you wanted something close. Many are being tracked in fear of their striking Earth, so finding a nearby one isn't difficult. (Finding one made of metal might be harder, though.) See The Near Earth Asteroid Tracking site at JPL.
There is more information on asteroids at The Nine Planets Asteroid Page. Also, they have good links at the bottom if you want to know more.
Try the links in the MadSci Library for more information on Astronomy.