There's gotta be a topic on this but I could only think to search "3GS" and it's too short. Anyone got a list? I just upgraded from a 2nd gen to 4th gen so I've got some catching up to do.
I don't think there are many games which specifically require 3GS and above, so I don't think you've missed out on many. But there are plenty of games which are optimised to get the best graphics and performance out of 4th gen devices. If you're looking for some really nice graphics, I recommend any of the following: Real Racing 2 NOVA 2 Infinity Blade (and Epic Citadel) Galaxy on Fire 2 Dead Space Need For Speed: Hot Pursuit Perfect Cell Modern Combat 2 Aralon
Lego HP used to be 3GS or higher and since been updated to run on older devices but I'm fairly certain that the gameloft game Shadow Guardian requires 3GS or better.
If you like shooters, you're set. All of Cave's games: Espgaluda 2 Dodonpachi Resurrection Mushihimesama Bug Panic And Minotaur Rescue All require newer devices. There are more, but these were the first to come to mind.
May I add FIFA 11 as well. FIFA 11 runs only on iPhone 3GS, iPhone 4, iPod touch 3rd gen (32 gb and 64 gb) and the iPod touch 4th generation.