That's pretty much how it goes. You also might want to think of a home computing analogy -- wheels and wheel components often fall into catgories not unlike laptops and desktops.
Some wheel components are like desktop PC parts -- ie, they're readily sold and distributed in standardized units that you can select and have combined with compatible parts to form a working wheel. Shimano, Campy, and a number of other parts makers sell hubs precisely for this purpose. Shops often build them to order; you can build them yourself if you like. You might ride with a guy using Mavic Open Pro rims with Shimano Ultegra or Dura Ace hubs -- that's a common training setup. Builds with Chris King, American Classic, Velocity and Campy parts are out there too. You can have these parts interchanged, if you want, but like boudreaux said, doing so is taking the wheel apart and rebuilding it.
There's another category of wheel which is more like a laptop -- the part categories are the same, generally (rims, hubs, spokes), but they're designed, assembled, and sold as proprietary units, in complete wheel form only. These are equally popular -- Mavic Ksyriums, or Campy Eurus, or Rolf Vigors, for instance -- are of this type. Because they're designed as a unit, swapping the Ksyrium's dedictaed hub out for another is as pointlessly difficult as swapping out your laptop's video card... it won't work. If the hub breaks down, you send it to a Mavic dealer and let them figure it out.
Hope these are hopeful generalizations.