I think we're talking about 3 different things here
1. Listings for uninstalled games remaining in Add/Remove Programs
2. Folders for uninstalled games that you see in the Start/Programs menu
3. Folders you see when you browse your hard drive with My Computer or Windows Explorer.
Game uninstallers often leave folders full of saves and game settings on your hard drive, so #3 above is not abnormal. There's nothing really wrong with uninstallers leaving game folders behind, since some people want to keep their saves and you can always go in and delete them if you want.
Uninstalled programs SHOULD be removed from Add/Remove programs and the Start/Programs menu when you uninstall though. If they aren't, a registry cleaner like CCleaner may get rid of them. You can also get rid of stuff in the Start/Programs menu manually. They're found in
C:/Documents and Settings/All Users/Start Menu/Programs
I think Tweakui will get rid of stragglers in your Start/Programs menu. Some links here http://www.annoyances.org/exec/show/tweakui