Really amazing that, after all this time, there's still no good cohesive list on the Internet, it seems. I can tell you this: I have 2 PS3 systems and KNOW for a FACT that the following PS3 games support the local LAN feature:

Warhawk (even lets you LAN 2 PS3 with a 4-way splitscreen on each ---probably more, but that's the max I've personally done)

Unreal Tournament 3

Armored Core 4

Ghost Recon Advanced Warfighter 2 (like Warhawk, will also allow a splitscreen local LAN)

Dirt (but, don't get excited: this game's "multiplayer" support is a joke --it's really a 'realtime stats battle'; not an interactive race)

Formula 1 Championship Edition

Dark Sector (the manual states LAN support, although I have yet to try it)

I've also personally setup local LAN on the Haze (2 PS3 w/splitscreen) and Grid demos (so, I presume the full versions support it).

Depending on your broadband quality, you can also linkup more than one PS3 through 1 router to an online game. For example, I've also done a 4-way Warhawk on 1 system, a 3-way splitscreen on another, and connected to online gamers. Of course, this is much more precarious of a way of connecting. I've also done GTA IV as a 2-way like this. Also, The Club, Army of Two and others.

Still, there is a real need for a comprehensive list. I just recently revised my setup and am preparing for a 4-way LAN party ...but it's difficult to get adventurous with other games, since you never know what the full capabilities are until you try. For example, as mentioned above, Warhawk has GREAT flexibility. But, many games that allow 4-player splitscreen will not also allow 4player splitscreen & online play. (Warhawk DOES, but this is special; not the norm.)

By the way--you don't need to directly-connect the PS3's. You can local-LAN them wirelessly (via either of the methods I described above).