A large number of games don't support SLI. Some never will. Unlike the Voodoo2 SLI situation, where all games that supported the APIs worked (DirectX, OpenGL, Glide), nVidia must code support for specific games into an .xml list that is part of the drivers and enable support for the game in SLI mode. Some games that have problems with SLI are in the list too, but set to SLI disabled (MS FlightSim `04, Everquest 2, etc.) and some games may eventually get support, but don't have it now, and with nVidia's slow driver releases, some games may go from new to old before support is enabled. This also raises the question: If a game developer at some point gets in a tiff with nVidia, will their game ever see SLI support?
Games that do not support SLI will run at the same speed or slightly slower than in a one-card machine. nVidia has been far from open about this to the "average joe" consumer, so many people believe that SLI makes all games faster. I actually got modded down on Slashdot for pointing the above out, and called incorrect or a liar by several others.