Here's my (short) list thus far.
Please keep in mind that I am using an unmodified Sega Master System control pad.
I will modify a Sega Genesis controller later on, once it has arrived in the mail for three, and perhaps six button testing, assuming I can find instructions for the latter hack.
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Aladdin AGA: - Both buttons work and are assignable within the options menu.
Damage - Button 1 = Attack. Button 2 = Select Weapon/Scroll Dialog.
Great Gianna Sisters - Button 1 is fire. Button 2 is Jump (PERFECT AT LAST!!!)
Lion Heart - DO NOT select TWO BUTTON option under OPTIONS. This will cause both Jump and Attack to be assigned to Button 1 on the SMS Controller.
McDonald Land - Nothing.

AmiMasterGear - While not WHDLoad related, it does support both SMS buttons as it should and runs quite well on a 40Mhz 030 I might add.
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There has been talk of an Amiga Wiki. This is the sort of information that needs to be in there, amongst other things.