I got the following list from some other topic, not on GBA. If anyone else more games that are 'un copyable', let me know or if I have a incorrect game. I may make multiple posts:
Assassin's Creed 2
Battle Tanks
Bayonetta
Brain Challenge
Call of Juarez: Bound in Blood
Championship Sprint
Crash Commando
Dante's Inferno
Demon's Souls
DJ Hero
Dragon Age
Dragon Age: Origins
Dragon ball: Raging Blast
DragonBall Z: Burst Limit
Fat Princess
Fight Night Round 4
Go! Sports Ski
Go! Sports Skydiving
Godfather 2
Guitar Hero: Metallica
Guitar Hero: World Tour
Heavy Rain
High Velocity Bowling
Joust
Jurassic: The Hunted
Killzone 2
LittleBigPlanet
Lost Planet: Extreme Condition
Marvel vs Capcom 2
Mega Man 9
Mercenaries 2: World in Flames
Mortal Kombat II
NAMCO Museum Essentials
NCAA Football '10
Need For Speed ProStreet
Need For Speed SHIFT
Need For Speed: Carbon
Need For Speed: Pro Shift
NFS Undercover
Ninja gaiden sigma.
Rainbow Six Vegas 2
Rampage World Tour
Rock Band
Rock Band 2
Saboteur
Singstar
Skate 2
Smackdown vs. RAW 2010
Sonic & Sega All-Stars Racing
Star Ocean 4
Star Ocean: The Last Hope International
Street Fighter II Turbo HD
Street Fighter IV
Super Puzzle Fighter II Turbo
Super Puzzle Fighter II Turbo HD Remix
Super Street Fighter II Turbo HD Remix (Nothing Really to unlock though?)
Tekken 5: Dark Resurrection Online (Can copy your customize data)
The Eye Of Judgment
The Saboteur
Tomb Raider: Anniversary
Transformers War of Cybertron
UFC 2009
UFC 2010
UFC: Undisputed
UNO
Vampire Rain: Altered Species
Wolfenstein (not the PSN game, the remake)
Edit - Added NFS Undercover
Assassin's Creed 2
Battle Tanks
Bayonetta
Brain Challenge
Call of Juarez: Bound in Blood
Championship Sprint
Crash Commando
Dante's Inferno
Demon's Souls
DJ Hero
Dragon Age
Dragon Age: Origins
Dragon ball: Raging Blast
DragonBall Z: Burst Limit
Fat Princess
Fight Night Round 4
Go! Sports Ski
Go! Sports Skydiving
Godfather 2
Guitar Hero: Metallica
Guitar Hero: World Tour
Heavy Rain
High Velocity Bowling
Joust
Jurassic: The Hunted
Killzone 2
LittleBigPlanet
Lost Planet: Extreme Condition
Marvel vs Capcom 2
Mega Man 9
Mercenaries 2: World in Flames
Mortal Kombat II
NAMCO Museum Essentials
NCAA Football '10
Need For Speed ProStreet
Need For Speed SHIFT
Need For Speed: Carbon
Need For Speed: Pro Shift
NFS Undercover
Ninja gaiden sigma.
Rainbow Six Vegas 2
Rampage World Tour
Rock Band
Rock Band 2
Saboteur
Singstar
Skate 2
Smackdown vs. RAW 2010
Sonic & Sega All-Stars Racing
Star Ocean 4
Star Ocean: The Last Hope International
Street Fighter II Turbo HD
Street Fighter IV
Super Puzzle Fighter II Turbo
Super Puzzle Fighter II Turbo HD Remix
Super Street Fighter II Turbo HD Remix (Nothing Really to unlock though?)
Tekken 5: Dark Resurrection Online (Can copy your customize data)
The Eye Of Judgment
The Saboteur
Tomb Raider: Anniversary
Transformers War of Cybertron
UFC 2009
UFC 2010
UFC: Undisputed
UNO
Vampire Rain: Altered Species
Wolfenstein (not the PSN game, the remake)
Edit - Added NFS Undercover