Any game that allow's for XInput controller's will work with the 360 pad natively (Or with some minor adjustments). XInput was released around 05 so you've got quite a hearty catalogue of games right there.
Not to mention you can use various 3rd party software to map keyboard and mouse bindings to a pad should it not support a gamepad naturally.
Couple of exception's being the Wireless 360 Pad with it's dongle, some game's still can't use that correctly (AC1 and 2 for example). Also some game's use an older version of XInput may not allow use of the Rumble and Trigger feature's due to change's in the API over the years. Just use a 3rd party to simulate it instead such as XPadder, etc.
Anyway; here's a good list of what support's it out of the box; Link
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Many people on this thread have already mentioned that pretty much any game released in the past 4 or so years has controller support. But I'm still gonna name some games that work with the controller: Dungeon Defenders, Ys Origins, Ys Oath in Felghana.
Ps: I just remembered that you can check on the Steam store page whether that game in question has controller support or not. Just thought I'd mention that.
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What are some fun games that work for it?
Currently I am using it for.
Just Cause 2
Skyrim
Sleeping Dogs
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