DREAMFLYER: You can get cards, stamps and postages to download rare stuff and "treasures" that are in the works.
EVE ZERO - ARK OF THE MATTER: You can download and play a shooting game you play in the story.
KITERETSU BOYS'S GANGAGAN: You can download an encyclopedia of successfully sealed "Kotodamashi" and watch it on your VMU (128 blocks).
LET'S MAKE: J-LEAGUE PROFESSIONAL SOCCER CLUB! 1: You can download live data and also trade players with your VMU (40 blocks).
LET'S MAKE: J-LEAGUE PRPFESSIONAL SOCCER CLUB! 2: You can trade players with your VMU.
LET'S MAKE: JAPANESE PROFESSIONAL BASEBALL TEAM!: You can data link with Let's Play version of this and manage the team you've trained.
LET'S MAKE: MORE JAPANESE PROFESSIONAL BASEBALL TEAM!: You can data link with the online version of the Let's Play version of this game and it'll show strategies on your VMU.
LET'S PLAY: JAPANESE PROFESSIONAL BASEBALL TEAM!: You can data link with the Let's Make game, collect player cards and make original characters and trade player cards with your friends or on a public page
MABOROSHI TSUKIYO: Girls whose endings you've completed will act like your alarm clock.
MARIONETTE HANDLER 2: You can trade data on your mechs.
NAKORURU: You can download a "character clock" (40 blocks).
ROOMMANIA #203: You can download the minigame "Mojipuji" (30 blocks).
SAKURA MOMOKO GEKIJOU - KOJIKOJI: You can download "Kojikoji Watch" (80 blocks).
SAKURA TAISEN 3 - IS PARIS BURNING?: You can download the minigame "Pari no Futari" (64 blocks).
SAKURA TAISEN ONLINE - TEITO: You can connect your VMUs and exchange business cards.
SAKURA TAISEN ONLINE - PARIS: You can connect your VMUs and exchange business cards.
TANTEISHINSHI DASH!: You can download the minigame "Minto to Issho" (88 blocks).
WORLD NEVERLAND PLUS 1: You can gather 1-6 people's data and fight.
WORLD NEVERLAND PLUS 2: You can download the minigame "Imuppi" that changes depending on the personality of the Imu user at the time.
YUKAWA SENMU NO OTAKARA SAGASHI: You can download a minigame where you dig a bunch of holes for a high score.
And for the following games I don't really think so...:
CAPCOM VS. SNK 1 - MILLENNIUM FIGHT 2000: You can save original and secret characters to your VMU and use it at the arcade.
D2: Works with the VMU
EL DORADO GATE - VOL.1: You can carry your save data to volume 2 and beyond.
EL DORADO GATE - VOL.2: Your save file is compatible with each volume.
EL DORADO GATE - VOL.3: Your save file is compatible with each volume.
EL DORADO GATE - VOL.4: Your save file is compatible with each volume.
EL DORADO GATE - VOL.5: Your save file is compatible with each volume.
EL DORADO GATE - VOL.6: Your save file is compatible with each volume.
EL DORADO GATE - VOL.7: Your save file is compatible with each volume.
HEISEI MAHJONG-SHOU: With one Dreamcast, you can compete with up to 4 people/CPUs on your Personal Screen Systems (VMU screen?).
LET'S MAKE/LET'S PLAY: JAPANESE PROFESSIONAL BASEBALL TEAM!: The VMU will show information on your pitch when you play the Let's Play version.
NEVER 7 - THE END OF INFINITY: You can download player icons to your VMU and you can also download extra scenarios from the internet.
PROJECT JUSTICE: You can access edited characters made in "Moero! Nekketsu Seishun Nikki" and saved to your VMU at the arcade.
SEAMAN: You can transfer data with your VMU.
Just my 2 cents. Feel free to change it if I got it wrong, missed something, etc.