The only games which I know of that cannot be run with Windows XP (i.e. DX10 minimum) are the following:
Halo 2 ==> This is actually just a DX9 game, but you are required to have an OS that supports at least DX10. This was done to get Halo fans to upgrade to Win Vista.
Just Cause 2
That's about it. The vast majority of games still supports DX9 because Windows XP still represents at least 46% of all Windows OS install base. DX9 will still be around for many years to come, I think it will outlive DX10.