Disclaimer: These are the ones I have found out and tested, as of this posting I do not know of others
List of PS2 Games with PSP Connectivity
PS2 PSP Feature
ATV Offroad Fury 4 ATV Offroad Fury Pro Unlocks tracks
Crash Tag Team Racing Unlocks tracks and vehicles
Jax X (Combat Racing) Daxter
Daxter
Secrets
Connect
Daxter to Jak X Combat Racing for the PS2 and you can unlock the
option to toggle whether or not Daxter wears his goggles over his
eyes.
Jax X Secrets
Daxter(PSP) Racers
Connect your PSP with the Daxter game to the PS2 and you get
Kaeden
Scan for Secrets in Secrets Shop
Osmo Scan for Secrets in Secrets
Shop
Taryn Scan for Secrets in Secrets Shop
Ximon Scan for
Secrets in Secrets Shop
Daxtermobile
You’ll unlock
the Daxtermobile in Jak X: Combat Racing
Madden NFL 06 Transfer game save
Metal Gear Solid 3: Snake Eater Metal Gear Acid Unlocks cards and camouflage patterns
Outrun 2006: Coast to Coast Transfer game save
Super Monkey Ball Adventure Transfer game save
WWE SmackDown vs Raw 2006 Transfer game save and Unlocks Jake Roberts on PS2