By substitution, I assume halogenation reactions.
Yes, you can do it with fluorine, which is much more reactive and basically uncontrollable/explosive (this is why you don't learn about it).
Iodine is less reactive because when you get iodine radicals, the hydrogen atom abstraction is slow (for extended reading, see polarity matching and hydrogen atom transfer/abstraction). Br and Cl radicals are more electron-poor, so they're better at abstracting electron-rich hydrogen atoms.
Oh, by extended reading, I mean it's like, stuff you might learn in third-year chemistry or later.
