This website lists all the games that support trophies, as well as tips and hints on how to earn them:
It's not a very long list. Personally, I don't know why Sony even bothered with the trophy system if they weren't going to make all newer games include trophies. All 360 games must include achievements, which are essentially the same as trophies. Heck, for games that are on both consoles, like Fallout3, it wouldn't have taken a lot of coding to simply use the same list for BOTH achievements AND trophies.