Can Endermen build Snowmen or Iron Golems?

Yup, they sure can!

And here's the reddit thread where they talk about it.

This YouTube video by KapitanWalnut proves that Endermen can in fact create Snow Golems, and by extension Iron Golems:

They can, as covered in the other answers.

However, Endermen cannot move snow or iron blocks; so they can only create a golem where the body pattern already exists. You could perhaps block such creation by ensuring there is always a block above any two-block-high section of snow, and so on.

Also, it is highly unlikely that an Enderman will pick up a pumpkin in the first place, and place it on your snow; you could make sure that there are no pumpkins near your base, and remove any you find moved closer by Endermen.