Here's what I've got on my phone right now, minus anything in a humble bundle.
NetHack
Knights Of Pen & Paper
Cthulhu Saves The World
Cut The Rope
Penny Arcade's On The Rain-slick Precipice of Darkness 4
Angry Birds[footnote]No really, it's a pretty fun puzzle game, despite all the rampant merchandizing turn the franchise has taken.[/footnote]
Osmos
ScummVM [footnote]an interpreter app that lets you play many old point & click adventure games. I use it to play my Curse of Monkey Island on the go.[/footnote]
There's also a variety of good emulators available for most retro consoles and handhelds.
TheYellowCellPhone said:
MyGBA is probably the best GBA emulator on the Marketplace.
Don't you mean My Boy!, because I've never seen or heard of MyGBA. And yes, it is a good emulator.
I generally stay away from fps, platformers and most action-heavy genres, since they often don't translate well to touch-based devices, especially those with limited screen-space, like most phones. Adventures, turn-based strategy, puzzle games and turn-based rpgs are a better fit.