The games that include this feature are Microsoft Mahjong, Microsoft Minesweeper, and Microsoft Solitaire Collection, all of which are Xbox Live titles. Currently the only one of these available for Windows Phone 7.5 is Minesweeper, but it does not currently support this functionality.
It is possible that the feature could be added in an app update, but perhaps a more likely scenario is that this "synchronous game play" is a feature that is being added in Windows Phone 8. As noted by WP Down Under, WP Central recently reported that Sonic the Hedgehog 4: Episode II would be getting a similar feature, suggesting that the functionality will be available to all Xbox Live games, in a similar fashion to Xbox Live achievements and online leaderboards.
It would be a logical addition to Xbox Live's current functionality and, along with Xbox SmartGlass, would help promote Microsoft's three screen strategy. It would also further promote the advantages inherent in the level of integration between Microsoft's two key computing platforms.
More screenshots and information in this WP Down Under post.