The only game that I can ever recall having played that had a problem with control lag was Need for Speed 3: Hot Pursuit. That game's slow reaction to the controls and impossibly dark night tracks meant that you could only feasibly drive at night if you'd memorized the entire track. That's the reason I preferred to play those same tracks in Need for Speed 4: High Stakes instead (it had all the NFS3 tracks in addition to some new ones).

Other than that, I have never, ever experienced the kind of latency you are describing. I've never had a problem with a noticeable delay between my actions and the result on screen unless that delay was caused by network lag in a multiplayer game.