Yes! And check out ant behavior (for instance)....
Indeed, ants do show collective conscious behavior and would be much easier to study that the larger animals.
BTW, the behavior of Musk Oxen always gets to me. When under attack, they form a circle with their rears to inside - very much like "circling the wagons."
Emperor penguins circle also, face to inner and then rotate positions so that no penguin has to spend too long on the outside during an blizzard. How curious the behavior!