Yes, creatures can jump 1z, then hold onto the wall surface, and proceed to climb from there.
Adventurers can't jump up z-levels, and I'm reasonably sure NPCs can't either. If you build something like an upside-down pyramid, it's not climb-safe regardless of jumping.
http://www.bay12forums.com/smf/index.php?topic=140013.0Dwarf Fortress 0.40.01 Released
(*) Various movement changes.
Climbing/jumping/sprinting
in both modes, though invaders still require a line of site to use them. Adventure mode has a stealth rewrite, and some elements of that are present in dwarf mode (it is generally easier to spot thieves and ambushers, and I'll probably need to make them smarter about finding cover). Movement and combat are separate now. Startled people climb up the walls of their homes a little too often.
http://www.bay12forums.com/smf/index.php?topic=140944.0Dwarf Fortress 0.40.04 Released
Major bug fixes
(*) Tried to make idle code somewhat better about climbing while still getting dwarves out from being stuck
Other bug fixes/tweaks
(*) Fixed some brokenness with climbing AI vs. ledge tops
(*) Made climbing have a higher path cost
(*) Made people less likely to climb after a failure
http://www.bay12forums.com/smf/index.php?topic=141350.0Dwarf Fortress 0.40.05 Released
Other bug fixes/tweaks
(*) Added some basic climbing skill to wg/etc. soldiers, esp. thieves
http://www.bay12forums.com/smf/index.php?topic=142860.0Dwarf Fortress 0.40.10 Released
Major bug fixes
(*) Allowed flying/climbing wilderness critters to work their way off the map