Do you want a complete list, or just North American games?
I'm still working on compiling a complete list for Japanese games, there's only a few North American games, and there don't seem to be any PAL games at the moment.
In North America, the list right now is just FFXI, Tetra Master, POL Viewer, Resident Evil Outbreak, and SOCOM II. Content for SOCOM II's HDD support has also not been released yet.
My incomplete list of Japanese games with HDD support is in the guide in my signature, that Alcahest linked to above. Go to the FAQ section of the guide.
My PlayStation2 HDD guide.
NTSC J SCPH 30000 with HDD and PSBBN 0.32
NTSC U/C SCPH 30001R Astral Blue LE PS2
Final Fantasy XI status:
Server - Ragnarok, Race - Mithra, Jobs - BLM 72 WHM 51 SCH 39 SMN 25, Nationality - Windurst, Name - Bungiefan