Locally you can set your MTU to larger than 1500, but if you (generally) try and send a packet towards the internet larger than 1500 it will be dropped without a trace, or it will be dropped and an ICMP message will be generated to tell your system to lower the MTU. Assuming you have not firewalled off ICMP ;)

As a handy feature on Linux at least, you can set your MTU to 9000 locally, and then set the default (internet generally) route to have a MTU of 1500 to prevent issues:

ip route add 0.0.0.0/0 via 10.11.11.1 mtu 1500