Yes, other electromagnetic radiation can be focused, and routinely is. Basically, everything up to x-rays can be focused relatively easily. Once you get to energies so high that they go right thru most material, using these materials to focus such rays gets tricky or impossible. For example, I don't think we know of a way to focus gamma rays.
On a cosmic scale, gravity can be used to bend the path of radiation, which works for all wavelengths. It is currently beyond our capabilities to construct devices that do this in any meaningful way, but we can and have made use of the ones that occur naturally. Distant galaxies are sometimes used by astronomers as gravitational lenses to see more clearly things that are even more distant behind these galaxies.
For most electromagnetic radiation, there are two ways we can change its propagation path, refraction and reflection. For visible light, this is done with lenses and mirrors, respectively. Finding a structurally suitable material that is transparent at other wavelengths (like glass is at visible wavelengths) can be difficult, and most focusing of wavelengths far from the visible spectrum is usually done with reflection rather than refraction.
Examples of reflection used to focus non-visible radiation abound. Old UHF TV roof antennas were commonly corner reflectors. These has a series of rods that formed a V-shaped pocket pointed in the direction of the transmitter. The actually antenna was a split rod or sometimes a series of rods inside the V. Other antenna systems use unconnected conducting rods and other conducting objects to reflect the radiation to increase its flux at the actual receiving (or transmitting, antennas work equally both ways) element.
Large radar dishes or radio-telescopes are examples of extreme focusing of radiation, usually in the GHz range.
At long enough wavelengths, yet another method can be used to make a focused beam of radiation. This is done by controlling the phase of multiple emitters. As a simplistic example, consider two vertical radio antennas spaced 1/4 wavelength apart. Antenna A is fed with a signal that is 90° ahead of that to antenna B. Imagine a wavefront emitted from A. After 1/4 cycle it reaches B, which is now emitting the same signal. The two wavefronts emitted by A and B add, and the signal appears strong to someone receiving in the B direction. Now imaging a wavefront leaving B. When it gets to A, A is emitting 1/2 wavelength ahead, which is 180° out of phase. The two signals therefore cancel each other in the A direction.
This basic principle, called a phased array, can be applied to a large number of individual transmitters (or receivers, works both ways). With lots of individual elements in the phased array, a very narrow beam can be emitted (or again, the overall antenna can listen in a narrow direction). A great example of this is the Aegis radar system originally deployed on the Arleigh Burke class of destroyers. The large hexagonal patches on the front and sides are actually arrays of many small radar antennas, with the phase shift of each being controllable dynamically. This means the beam can be re-directed very quickly electronically without requiring a mechanical sweep of a physical antenna.
This principle can also be used to steer a reflected or transmitted beam. At optical wavelengths, this is usually called a diffraction grating. A series of parallel scratches separated by a fraction of a wavelength is etched onto a mirror. At the right combination of wavelength and reflection angle, the reflections from each of the peaks are either in phase and therefore add, or are out of phase and cancel each other. Since the angle they are in phase at is a function of wavelength, such diffraction gratings can be used to separate light by its wavelength.
These parallel scratches can also be applied to the surface of transparent objects. When you look thru one at a thin vertical slit of white light aligned with the scratches, you see it spread out horizontally into its component colors. Some spectrometers work on this principle. I have heard of one effort to use this effect to focus x-rays.