Insteon sells an infrared receiver for their system that can be programmed to do anything based on any infrared code, which means you can use your Harmony to do anything. However, the interface on the harmony doesn't really lend itself to that kind of stuff, so it's best used as a supplement. For instance, in my planned system, when I hit the button on my harmony to "Play Movies", it will set all my inputs as well as send the signal to the Insteon IR receiver to ramp down the lights in my HT room. I would rarely use it to do things like, change the temp on my thermostat. But I'd definitely have that configured so it was possible. However, the best bet is using something like the iPhone.
Another possible solution is if you have a HTPC with an IR receiver, you can configure an application like Girder to control other Insteon devices if you have one of their ethernet or USB bridges.