If the player supports On Top and Transparency plus the game can be run in windowed mode I don't see why not. Just run the game as close to the screen's native resolution as possible (some games, like WoW, offer a "fullscreen-windowed" option - best solution) and you should be fine.
If you mean an overlay application, like the Rogue for browsing, I haven't seen anything yet. Not to mention Rogue ain't working so great... However, I have two screens and I put a movie on one (fulscreen) and play a fullscreen game on the other. Works without any problems. You need 2 screens for that, obviously 😛