Nowadays, you won't find much games that do not support gamepads. Whether its a game for windows certified or not. I own the XBOX 360 controller (for PC) and I haven't had any game reject it.
That said, much like the consoles, the downside of playing with a controller is that often you will not be able to custom set you buttons. Logitech has a software that can counter that but for the most part, but all you usually get is a few different setups, but no custom setup. BTW, same applies to other gamepads.
I'll play my FPS with keyboard and mouse but games like Assassins' Creed or Dead Space just feels better with a gamepad.
Hope this helped.