To me the XP-era is 2001-2009. Though one can make a case for 2007-2009 being a transitional period because there are features than are not supported by XP as well as features no longer supported by Vista.

The games:
Age of Mythology
Aliens Versus Predator 2
Battlefield 1942
Battlefield 2
Battlefield 2142
Beyond Good & Evil
Bioshock
BloodRayne
Bully - Scholarship Edition
Call of Duty
Call of Duty 2
Call of Duty 4: Modern Warfare
Call of Duty: World at War
Codename: Panzers: Phase One
Codename: Panzers: Phase Two
Colin McRae Rally 2005
Colin McRae DiRT
Command & Conquer: Generals
Command & Conquer 3: Tiberium Wars
Crysis
Dead Space
Doom 3 + Resurrection of Evil
F.E.A.R.
Fallout 3
Far Cry
FlatOut
FlatOut: Ultimate Carnage
Forgotten Realms: Neverwinter Nights
Forgotten Realms: Neverwinter Nights 2
Gears of War
Grand Theft Auto III
Grand Theft Auto: Vice City
Grand Theft Auto: San Andreas
Grand Theft Auto IV
Half-Life 2
Joint Task Force
Mafia
Manhunt
Mass Effect
Max Payne
Max Payne 2: The Fall of Max Payne
Medal of Honor: Allied Assault
Medal of Honor: Airborne
Need for Speed: Hot Pursuit 2
Need for Speed Underground
Need for Speed Underground 2
Need for Speed: Most Wanted
Need for Speed: Carbon
No One Lives Forever 2: A Spy In H.A.R.M.'s Way
Overlord
Prey
Prince of Persia: The Sands of Time
Prince of Persia: Warrior Within
Prince Of Persia: The Two Thrones
Prince of Persia
Quake 4
Race Driver: Grid
Return to Castle Wolfenstein
Rush for Berlin
S.T.A.L.K.E.R.: Shadow of Chernobyl
S.T.A.L.K.E.R.: Clear Sky
Saints Row 2
Serious Sam: The First Encounter
SimCity 4
Star Wars: Knights of the Old Republic
Star Wars: Knights of the Old Republic II: The Sith Lords
Star Wars: Republic Commando
Supreme Commander
Test Drive Unlimited
The Elder Scrolls III: Morrowind
The Elder Scrolls IV: Oblivion
The Sims 2
The Witcher
Tom Clancy's Splinter Cell
Tom Clancy's Splinter Cell: Pandora Tomorrow
Tom Clancy's Splinter Cell: Chaos Theory
Tomb Raider: Legend
Tomb Raider: Anniversary
Tomb Raider: Underworld
Unreal Tournament 2004
Unreal Tournament 3
Vampire: The Masquerade: Bloodlines
Warcraft III: Reign of Chaos
Wolfenstein
World in Conflict
XIII

I like Amnesia: The Dark Descent (2010), if anyone's into horror genre. And Cry of Fear, 2012, total-conversion running on Half-Life's engine.

The newest game I played on XP x64 was Wolfenstein: The New Order from 2014, this one was compiled with the older compiler that still targeted XP by default and its engine doesn't have any hard dependencies on Vista+ APIs. Needs getting around Steam DRM though. That applies to Cry of Fear mentioned above as well. They switched to newer compiler for Wolfenstein: The Old Blood.

Wolfenstein: TNO is pretty much reaching into modern era, 64-bit games were becoming the norm if they weren't already, and the fact that it runs on XP x64 makes it special IMO.