is this possible and how?
1st Particle has material A 2nd Particle has material B 3rd Particle has material C 4th Particle has material A ....
5th Particle goes back to material A 6th Particle goes back to material B
etc etc...
I do mean materials, not textures.
No, a particle system uses the same material for all particles. It would be too slow otherwise.
You could have several particle systems with different materials / parameters under a single parent node. Such system could be made to appear as a single particle system with different sorts of particles.
On the other hand, this answer: http://answers.unity3d.com/questions/32087/how-can-i-emit-particles-with-different-textures-on-them suggests you could have several materials in the array of the particle renderer. I haven't tried this yet though.