From what I have found shattered around the WWW, the following games support the VMU and/or Dreamcast controller;
- Capcom vs SNK 2
VMU: YES
Controller: Unknown
(source: http://www.sega-naomi.com/forum/viewtop ... sc&start=0")
- Capcom vs SNK 2 Pro
VMU: YES
Controller: Unknown
(source: http://www.sega-naomi.com/forum/viewtop ... sc&start=0")
- F355 Challenge
VMU: YES
Controller: NO
Save track times and load them into the Japanese Dreamcast edition and visa versa.
(source: http://www.digitpress.com/forum/showthr ... w-VMU-slot")
- F355 Challenge 2
VMU: YES
Controller: NO
Save track times.
- Giant Gram 2000
VMU: YES
Controller: Unknown
- Giant Gram 2
VMU: YES
Controller: Unknown
- Gunspike
VMU: YES
Controller: Unknown
- Heavy Metal Geomatrix
VMU: YES
Controller: YES

(source: http://forum.arcadeotaku.com/viewtopic.php?f=3&t=4002")
- Power Stone
VMU: YES
Controller: Unknown
(source: http://www.sega-naomi.com/forum/viewtop ... sc&start=0")
- Spawn: In the Demon's Hand
VMU: YES
Controller: Unknown
"arcade-goers can develop the character of their choice in the arcade version of the game and save it to their VMU. Once the Dreamcast version has been released, they'll be able to upload the data!"
(source: http://www.ign.com/articles/1999/11/02/ ... upport-vmu")
- Street fighter Zero 3 upper
VMU: YES
Controller: Unknown
(source: http://www.sega-naomi.com/forum/viewtop ... sc&start=0")
- Marvel vs Capcom 2
VMU: YES
Controller: Unknown
- Toukon Retsuden 4 - Arcade Edition
VMU: YES
Controller: Unknown
- Virtual On Oratorio Tangram VER.5.66
VMU: YES
Controller: Highly unlikely
By using the "VO:OT Customize Disk" on Dreamcast, you can make an personalized VR and play with it @ the arcade version.
(source: http://www.oratan.com/forum/viewtopic.php?t=291&p=10873")
Technical:
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