Yes they do.
If you tiptoe up to Pokémon sticking out of the tall grass (using the circle pad), battle and then capture them, they may have "special moves".
>Occasionally, in tall grass, water or other places wild Pokémon pop up, you'll see the shadow of a Pokémon appear in the overworld. If you run toward it, it will disappear; instead, you have to sneak up on the Pokémon by slightly tilting the analog stick — another new feature for the series.
>Pokémon caught using that method are usually the rarest and highest level in a given area, and often feature moves that they normally wouldn't start out with.
Sources: 1 | 2 | 3