Known launch window games requiring separate memory cards include Ridge Racer, Uncharted: Golden Abyss, Disgaea 3: Absence of Detention, Sega's golf game @Field, Hot Shots Golf 6, the AR title Monster Radar, and the assuredly Japan-only Dream Club Zero Portable. Everything else saves to memory included on the game itself -- with one exception: the status of (sigh) Touch My Katamari is unannounced.
That's for the retail versions of these games. Here's the list of games whose PSN versions require you to use an external memory card for save data:
- All of them