Putting games on your copy ofshould be exactly the same as installing applications under Windows XP. Getting them to play properly on the other hand may present a few more technical hurdles.
Despite Microsoft's claims that Vista would be completely backwards compatible with DirectX 9 games that work on Windows XP, there are some known issues with certain titles. Some of these problems have been resolved by updating to the most recent graphics drivers for your hardware by visiting www.ati.com or www.nvidia.com. You may also want to check the game developer's Web site to see if a patch has been released to add or improve Vista support.
Some people report being able to get their games running by disabling the User Account Control (UAC) or running games as an administrator instead of as a non-privileged user. These aren't recommended workarounds, but they may help if you can't find any other way to get your games running.
This page also has a good list of Vista compatible games, and describes some of the known issues. It's based on the RTM release (the build used to make the final retail copies) so it should be quite accurate.
If all else fails, there's always the option to dual-boot your system with Windows Vista and Windows XP if you have a second licence lying around. It's not ideal, but if you have games or applications that simply refuse to operate and you really want to make them work/play, it may be your only choice.