As someone with CF 5850s, it's totally worth it (playing 1920x1080).
I went from high settings to being able to max out any game so far (well the only exception being Metro 2033, all settings maxed except AAA instead of 4xMSAA but most cards can't handle it with DoF).
As for games supporting it, basically all games released in the last few years support CF. It's actually more of whether AMD supports the game, because you need to install Crossfire App Profiles, the most recent one added Dragon Age 2 and Crysis 2 profiles. Basically as soon as new AAA titles come out on PC they release a new CAP.
I did some of my own benchmarks when I got my 2nd card... http://www.tomshardware.com/forum/289809-33-single-5850-furmark-crysis-stalker-dirt