Limes pickle even better than lemons, faster and more aromatically, but other citrus fruits do not seem to pickle in a worthwhile way. Harold McGee reports that the Meyer lemon, a lemon-orange cross commonly grown in Northern California, doesn't develop a rich new aroma when pickled but just comes to smell somewhat more like a regular supermarket lemon. I have tried pickling grapefruit. For the record, the peel lost some of its bitterness after a month but the aroma was unchanged.
And tangerines and tangelos were a complete flop. After a week they took on a suspect pumpkin-like aroma, and at four weeks they were definitely spoiled, even though the brine they were in was at least as strong as the one in which lemons pickle beautifully. Go figure.