chautemoc: If you mean ALL PC games, then all Games for Windows titles (except Bioshock 2...) have native Xbox controller support, so its just plug and play. There are also some non-GfW titles that do like Prince of Persia. Check game pages and boxes and such for those. Keep in mind you need the wireless adapter if you don't already have it.
For GOGs, some support it. You'd have to set it up in the game's menu. Alternately, you can use Xpadder as aliasalpha suggested. The newer versions cost money but there's old free versions which function well too.
That is actually incorrect. Not all GfW games have support for the 360 controller. I think the requirement is that, if gamepads are supported, they need to include a profile for the 360 controller.