Here is a list of games that will, might or have Trophies.
Last Update- 5-OCT-08
Already supports trophies:
Burnout Paradise
Buzz: Quiz TV
Ferrari Challenge
Geon: Emotions
Mainichi Issho
NovaStrike
Pain
PixelJunk Eden
Super Stardust HD
Warhawk
WipEout HD
Uncharted

Games that will be patched to support trophies:
Battlefield: Bad Company
Bionic Commando: Rearmed
Eye of Judgment (Oct 17)
Grand Theft Auto IV

Will support trophies on release:
Aliens: Colonial Marines
Alpha Protocol
Bayonetta
BioShock
Blitz: The League II
Borderlands
Call of Duty 5: World at War
Crash Commando
Dead Space
EndWar
Far Cry 2
HAWX
Heroes Over Europe
HOME
Killzone 2
Legend of Spyro: Dawn of the Dragon
LittleBigPlanet
Midnight Club: Los Angeles
Mirrors Edge
Mortal Kombat vs DC
MotorStorm 2
NBA 09: The Inside
Penny Arcade Adventures: Episode 1
Project Origin
Quantum of Solace
Ragdoll Kung Fu
Resistance 2
Rock Band 2
Rock Band AC/DC
Saints Row 2
Shaun White’s Snowboard
SOCOM
Stormrise
Supersonic Acrobatic Rocket-Powered Battle-Cars
Söldner X
The Godfather II
The Punisher: No Mercy
The Wheelman
This is Vegas
Two Worlds: The Temptation
Wheel of Fortune
X-Blades

Games that might support trophies:
1942
Brothers in Arms: Hell’s Highway
Elefunk
Fallout 3
fl0w
Heavenly Sword
Need For Speed Undercover
PixelJunk Monsters
Sonic Unleashed
Star Wars: TFU
Street Fighter HD

Games that will not support trophies:
Alone in the Dark
Armoured Core: For Answer
Call of Duty 4
Civilization Revolution
Colin McRae DiRT
Damnation
Devil May Cry 4
Guitar Hero World Tour
Hail To The Chimp
Jeopardy
LEGO Batman
Mercenaries 2
Naruto
Prince of Persia
Race Driver GRID
Rainbow Six Vegas 2
Ratchet and Clank
Ratchet and Clank Quest For Booty
Resistance
Soul Calibur 4
Spider Man: Web of Shadows
Super Puzzle Fighter HD
Thanks to www.allps3trophies.com