Is it possible for a gas giant (A very big one) to have an other smaller gas planet as satellite?
It would seem so.
Think about brown dwarfs. At the lower end of the mass spectrum, they're only a couple dozen times that mass of Jupiter, and only a couple times the mass of Hot Jupiters. Some brown dwarfs have been found to have planets. Taking a look at some examples:
- 2M1207: Roughly 25 Jupiter masses, this brown dwarf has a planetary-mass object orbiting it, 2M1207b. This object has between 3 and 10 times that mass of Jupiter, and is fairly hot, although it orbits far from the star.
- 2MASS J04414489+2301513: Roughly 20 Jupiter masses, with a companion on the scale of 5 to 10 Jupiter masses that could be a planet.
Note that these brown dwarfs are very low-mass, only a bit more massive than hot Jupiters. They can have orbiting gas giants - why couldn't high-mass hot Jupiters have the same?
Video games think so: http://en.spaceengine.org/forum/10-1762-1
More generally, we know this can work for stars in a stable way: there are ternary stars where a close binary orbits a large, distant third sun. So replace the binary stars by gas giants, and there you go. And the Pluto-Charon system tells us that similarly sized bodies can orbit each other around a star.
So the physics does not preclude the configuration in and of itself.
There are the usual problems then with likelihood: gravitational capture is hard, and planet formation is generally expected to be noticeably different from star formation. The latter we can maybe get around: the gas giants are nearly to the brown dwarf stage, so that star formation mechanisms are more applicable.
According to the Selected Examples here, Jupiter has density comparable to the Sun, so I would expect this to mean we can scale the binary part of the stellar system to gas giant levels without making the system any more unstable than its stellar counterpart.
A precise knowledge of the relevant physics to assert that confidently, and to know if the stability could last for millions or billions of years, is currently beyond me.