WHDLoad is simply the greatest Amiga util ever invented and I use it everyday! Not purely for playing games, but it has a tonne of cool features which I use to crack other games which don't specifically have a HD installer for them...
If anyone here has had bad luck running WHDLoad games, I suggest that you just got a bad install (by luck). The majority of them are very well written and have nice install procedures which multitask while imaging "non copyable" disks!
There are a number of complete games on the Action site already compressed, just unpack them and run. If the only thing you dislike is the splash screen, then register. If the games themselves work perfectly then you can test out how great the games are!
PS: Check out some multidisk ones especially and forget that function key in WinUAE forever!