This can be done - you can use custom Lightning components or 3rd party ISV components, but you have to edit the page XML --- these components can't be selected via the Page Composer. So here's how you can do it:
1. From the Page Composer running in Lightning, add a new "Lightning Component" to the page. 2. For component name, select any standard component, e.g. enter "richText" and select "flexipage:richText:". Click Save. 3. Click "View/Edit XML" 4. Find the XML node within your XML area - easy way is to hit Command+F and search for "lightning" 5. Change the lightningid attribute from markup://flexipage:richText to markup://c:helloWorld 6. Click Save. 7. Click Back to go back to the Page Composer running in Lightning. You should be able to hit Preview now and see your Hello World component.
We know this is not intuitive, but currently Salesforce doesn't offer API's to let us search for custom / 3rd party Lightning Components - we're working on ways to to present a nice list for you to pick from, but currently we're limited to just letting you visually pick from their small collection of supported standard components.