Most games will run fine, the main ones that have problems are DOS games, although I have found you can run some of them suprisingly. All of the Command & Conquer games will run except Tiberan Dawn, but RA, Sun, RA2 etc will run fine. I do know that with C&C: RA I had to use Acompat.exe and make setup think it was in 98, but once done it ran fine.
Remeber most games WILL run, so you cant ask which games will... all of my 98/95 games run fine. Some might need you to use acompat.exe to get them to run by tricking them into thinking your running 98. Also check
www.ntcompatible.com and it shows most games. I have found some games they say don't work in Win2K run fine after using acompat.exe to trick them.