Unfortunately something else tends to go wrong first - so you can stand on a solid Lego structure fairly easily, but if you try to build a bridge it's very hard to keep it from failing when weighted in the middle because the weight tends to push the bricks apart from one another.

There's an episode of James May's Toy Stories on Lego, where he builds a house from it; it turns out to be pretty tricky to build the floor of the upper storey to support him.