Can we add external devices to an Android device? For example, can I add a CD player or a power antenna (to detect wireless from long distances) to my Android device? Des Android let us to create our own drivers for our devices?
Most Android devices aren't set up for peripherals; it would take quite a bit of hacking away to get them to recognize them. That being said, since Android is Linux based it's entirely possible that Linux drivers might work for your device out of the box. I'd rate the chances of such as being very low, however.
Writing your own drivers is certainly possible, but again you'd also need the internal framework in place for the kernel, etc to accommodate peripherals. And reverse engineering drivers is NOT easy!
As for your Windows CE device, it's very rare for an other OS to be ported for a device (an exception to the rule: the HP touchpad). There's all kinds of major issues with reverse engineering from hardware specs, etc that generally keep that from happening. XDA Developers would be your best bet for something like that if it exists at all.
If you want to build external devices for Android, look at the IOIO project as a starting point - it has libraries, etc for doing USB stuff.
The SparkFun guys have a board all setup and ready to go as a starting point.