It is not possible to trigger an interrupt when an analog input has reached a threshold on any tinyAVR or megaAVR. It is possible to trigger an interrupt when an analog input of an AVR XMEGA with the event system.
It is possible to use the built-in analog comparator on the ATmegaXX8 and ATmegaXXU4 in the Uno, Leonardo, and comparable boards to trigger an interrupt when an internal or external threshold has been met. It is only possible to compare to an internal threshold on the Mega, Mega 2560, or comparable boards since the pin for the external threshold is not broken out, although actual breakout boards for the ATmegaXXX0/1 will have the pin broken out.
In all cases, examine the appropriate datasheet (in particular the "Analog Comparator" section) as well as the pin mappings on the Arduino website for full details.