It's very possible to train just about anything. What some consider training, however, can simply be a lesson in habit and repetition. Typical dog tricks are usually taught with a reward factor. While gecko's won't respond exactly the same way, it is possible to train them in some ways. If one happens to go to the bathroom in many places, it is possible to 'train' it to go in one single spot by collecting the droppings and putting them together in one corner of the cage. In time, the gecko can smell out the droppings and go continue to go there since it thinks that's where it has been going all along. And if you want to 'train' your gecko to be handled, you can get it used to your scent and used to your hand being in the cage, once it gets comfortable enough with you and doesn't see you as a threat, you can try touching him and gauging it's response. once it stops running away or seeming bothered, you can try picking it up. While this isn't exactly training, it is more like habit forming. But it is very possible to do with a gecko. I've had mine for about 2 1/2 months now, and while he is very good at instinctive things, some other things he's not so great at. One thing ion particular is that I got him a hammock, but noticed him for days staring up at it and never actually getting to it. The whole time I had a log laying across that would give him the right height to climb up onto the hammock, but he never figured it out. For a couple days I kept picking him up and placing him on the log facing the direction of the hammock. The first couple times he just got off the log. But then, one day he started walking and lo and behold, he found himself on the hammock!! Now he is up there a lot and I see him coming and going. Now that may not be 'training' per-say, but it was aided learning.
Hope this helps!