The back of the games list whether or not the Pro controller is compatible.
This. If anything, I don't think that Nintendo did quite enough to make people realize that the Pro controllers are an OPTION, not an across-the-board supported accessory. I'm happy I picked one up for games that don't really use the second screen (Black Ops is the big one), but I was aware of the limitations going in.
I mean, I'm glad the Pro controller exists, but... honestly, it doesn't have a huge need to right now. Outside of local multiplayer for something like Black Ops, it's really not all that 'OH MAN I CAN'T LIVE WITHOUT THIS' useful. Especially for $50.
I also think that as time passes, you'll actually find less uses for it, as many developers will begin to use the second screen for other things to make it 'worthwhile', as it were. Having only owned the system for 2 weeks, I already find it weird when a game like Black Ops doesn't really *use* the screen for anything other than a basic list of objectives. It's a trend that, really, I don't think will continue... I feel like we'll get to the point where, sure, you can play the games with the Pro, but you'll be missing out on something. I think a decent example is AC3... yes, it's totally playable with the Pro controller, but just freeing up a spot by putting the horse whistle on the touch screen is helpful. To me, that's where the difference will come in.
So, that was a lot longer than I intended it to be, but the Pro controller is kind of a bizarre thing. It really is. My gut would tell me that if the GamePad was cheaper and able to connect more than one at a time to the system, the Pro wouldn't even exist. It's a strange inbetween kind of solution.