I've seen many knives with Micarta pins and carbon fiber ones, too. There are various supply places that sell them in the different sizes and they provide good strength and either a contrast to the handle material or blend in very nicely.
I've not seen many wood pins, but it would certainly be doable. I think one possible down side could be the different expansion/contraction rates of the differing woods. If the pins wanted to expand but the handle material didn't, there could be a problem that would arise. This obviously wouldn't always be the case, but it's one potential problem. If the woods were picked carefully, I think it could be a nice look, though.
Jeremy