i think all rockstar and games for windows games work with a controller (usually need a 360 controller though) but you can use xbcd to make any controller show up as a 360 controller. you just have to move the dll files it crated to the same location as the game exe.
I play a lot of games with a controller.
batman seriese
gta seriese
resident evil.
stick of truth
racing games i use my Logitech wheel.
but fps have to be kb and mouse. you would just get owned otherwise. also rts games are just going to be worse with a gamepad. and i could never play TES games with a game pad.
As a general rule of thumb. if its on a xbox then it has gamepad support.
i think there are way to many games available to try and list them all.
and for the ones that dont have game pad support Im sure there is an app out there that will let you map key presses to a gamepad function.