I was interested in the same thing and opened a similar thread not too long ago:
http://gbatemp.net/t...ut-usb-support/
I can tell you the ones I personally have tried to use on USB HDD and had success with (this should be a pretty recent list as I don't think things have changed too much recently):
Wii2600
WiiMednafen
WiiColEm
UAEWii
frodo
VectrexWii
O2em
blueMSX
FCEUltraGX
Snes9xGX
Wii64
Genesis Plus
Wii7800 (after my very slight modifications - in the thread above)
JzintvWii (ditto)
This is not a complete list as I didn't try every emulator out there, only the ones I had interest in.
As PsyBlade mentions, a lot of emulators work just fine if you put the files in the same directory on the HDD as SD card. Here is the directory structure for test roms I used on the HDD, some because it needed it, others because it was convenient (and the emulator supported browsing for files):
/genplus/roms/
/MSX/Games/MSX1/
/MSX/Games/MSX2/
/snes9xgx/roms/
/vec/
/wii64/roms/
/wii2600/roms/
/wiicolem/roms/
/wiimednafen/roms/Game Boy/
/wiimednafen/roms/Game Gear/
/wiimednafen/roms/Lynx/
/wiimednafen/roms/Master System/
/wiimednafen/roms/Neo Geo Pocket/
/wiimednafen/roms/NES/
/wiimednafen/roms/PC Engine/
/wiimednafen/roms/VIrtual Boy/
/wiimednafen/roms/WonderSwan
/roms/romsodd/
/frodo/images/
/uae/floppies/Games/
/uae/roms/
/wii7800/roms/
/jzintvWii/roms/
/apps/
Note, I also put all of my apps on the HDD as well (/apps folder of course).