Depending upon the way HDLoader will store the game on HDD, lots of things may be possible.
If it stores the entire disc in a single partition, but leaves the files alone and does not compress them (or changes format or anything to discourage what i'm thinking about), then we should be able to get, delete, replace, and copy the games files using ps2menu. Which means, we now have the capability to modify the game just like a PC-user could modify their PC game. Trainers could be made, new cars could be added to games, just mods in general. You could download them from the internet, then transfer the mod files (via cd or network) to your HDD, replacing the old files and creating whole new levels of fun.
Sounds like fun doesnt it? Who thinks its possible, and who thinks people would actually spend time doing this. (If a way was found) This idea sounds like it should be taken care of by the HdLoader team.