Assuming you've got enough memory (at least 2 meg in most cases) most of the WHDload games should work. The AGA games and CD32 specific games wouldn't work. Also the menu wouldn't work as it requires AGA.
To run the games you may have to boot from floppy, change directory to CD0:games/gamename
Then something like CD0:c/whdload game.slave
I don't have an A500 + CDrom so I don't know for sure. This is really just theoretical.