There are plenty of guys that do this. I applied and was accepted to 2 services concurrently. The interviewers may well ask (as they did to me) how you can want to join both, but it's most likely an attempt to put you under pressure. They will know you may want to cover your bases and at the end of the day you want to serve in the forces in trade X. Of course when asked, their particular service is of course your preferred option. I found the acceptance from one service definitely helped get an offer from the other service.