It depends. If they are games that require 3d acceleration, then no, they won't work. XP mode was created more for older business apps.
The best thing to do is try, and best of all, now that Microsoft has removed the requirement of a CPU with virtualization built into it, XP Mode is accessible to more users. However, you must have at least Windows 7 Professional. Home editions cannot run XP Mode.
If you have the home editions, then you can go and get one of the following (all are free):
Virtual PC 2007 from Microsoft
VMWare Player from VMWare (free for home use)
VirtualBox from Sun/Oracle
Now, with the previous three options, you need to already own a licensed copy of XP. With XP Mode, Microsoft provides you with an XP Image free for use. With the three solutions I just provided you with, you would have to create a virtual machine and then install XP into the virtual machine, just as if you were installing XP on a normal computer.
With XP Mode, you just use the provided XP image that Microsoft has made available. However, I don't know if this is legal or not, but I was able to use the XP Mode image in VMWare Player! So, if you don't already own a copy of XP, you can try that route as well.
Now, if you are trying to run 3d accelerated games, then VMWare Player or VirtualBox are excellent choices. Either one provides 3d acceleration. Virtual PC and XP Mode do not (XP Mode users a newer version of Virtual PC which is why it doesn't do it).