I know that at the least, NES, Super NES, and Sega Genesis games were nearly all programmed in assembler. I don't know much about the next generation of game systems. Whenever you want to feel impressed, go back and play some old school classics.
If you want to feel impressed, check this out http://benfry.com/distellamap/
I don't think I've seen any assembly that was actually enabled in the games I've worked on in the last five years, though I do know where there's a tiny bit in my current project that's #if'd for older environments. That's just stuff like atomic operations that every modern compiler provides built-ins for now.
The link is great, thanks!