For an embedded system, there's actually little or almost no reason to use loadable Kernel modules. On the other hand, it may turn insecure, if the system is a protected one, using encrypted data & key while live. Then a custom loadable module can dump the memory to grab the secret data/key from runtime environment.
Other than all these, probably, you wish to see something while booting your own custom Kernel. For example, you want - that well known hello_world program should print something on console while kernel is booting.
A simple google search for "hello_world kernel space program" will point you a lot of examples to preparation, write, linking, compiling, loading, checking and unloading that hello_world program as a module for Kernel.