In my opinion, it really depends on how you look at it. Several of the interpretations of the play have led to a portrayal of the two as being somewhat closer than a regular brother and sister, but the incestuousness of their relationship is somewhat up in the air. Most of the critical reviews of the text focus only on the somewhat incestuous nature of Claudius and Gertrude's relationship. There is even some serious suggestion of an oedipal relationship between Hamlet and his mother (emphasized in Gibson's movie production) but it is difficult to make the argument that Ophelia and Laertes are actually involved in an incestuous or particularly a sexual way. The text itself does not give much credence to that theory.
One of the passages I think suggests the very opposite is Hamlet's outraged speech at Laertes production in the grave of Ophelia, declaring that his love for her is greater than any brother's could possibly be.
Yes, I believe there are subtle overtones of incest between the pair in Hamlet. Remember, Laertes is a foil for Hamlet, a more passionate double of the Prince. What one says or does speaks also for the other. Before he leaves for Paris, Laertes tells his sister, regarding Hamlet's advances:
Or lose your heart, or your chaste treasure open
To his unmaster'd importunity.
Fear it, Ophelia, fear it, my dear sister,
And keep you in the rear of your affection,
Out of the shot and danger of desire.
The chariest maid is prodigal enough,
If she unmask her beauty to the moon:
Virtue itself 'scapes not calumnious strokes:
The canker galls the infants of the spring,
Too oft before their buttons be disclosed,
And in the morn and liquid dew of youth
Contagious blastments are most imminent.
Be wary then; best safety lies in fear:
Youth to itself rebels, though none else near.
Leartes sees all young men as out for eros (physical love) because, well, he's a young man himself. By speaking about Hamlet, he is also speaking for himself. Perhaps Leartes wants Ophelia to spurn Hamlet's advances while he is gone because Laertes wants her to himself when he returns--a kind of sexual jealousy. Psychologically, Laertes may well be harboring an incestuous desire for his sister. By acting like a protective older brother, Laertes may only be sublimating his real desire.
Another curious scene is when Leartes jumps into Ophelia's grave. He shows more anguish over her death than Hamlet. Before leaping in, he yells:
Laertes takes his dead sister in his arms the way a married man would his wife. Hamlet jumps in as well in order to chastise Laertes' deviant, excessive behavior. Doesn't Hamlet notice the unnatural relationship here? This is why they duel at the end: Hamlet must rid Denmark of both incestuous brothers Claudius and Laertes.