No. Your last save point is the "Final Rest" area.
Doesn't matter much, as Ansem is pathetically easy and raises your level very little. You don't get any special things after beating the game, aside from the Secret Video, and even then you have to reach certain requirements. On top of this, with KHII already out, it doesn't mean a whole lot.
actually KH2 only comes out on friday in this country so im stuck doin nothing for a couple of days