Do any games use the GPU for more game tasks than just rendering, as a way to reduce the game's load on the CPU? I'm most interested in games which use either Valve's Source engine or the UDK.
Is it possible/effective to even do such a thing?
Neither of the engines you mention provide access to GPGPU (General Purpose GPU) support.
UDK in its current architecture never will, because it allows no access to low-level languages (other than DLLBind, which has other limitations)
There is talk that Source Engine will be upgraded with DirectCompute support (DirectX's GPGPU solution) some time in the next year, but very little to substantiate these rumours.