I remember hearing that all Sense based roms have bluetooth problems, so if you install CM9, CM10, or any other AOSP-based rom, I don't think you should have any problems. Keep in mind that to install these you first have to be S-OFF and downgrade your hboot (there's a sticky about it)
EDIT: Yeah, I just tried it on CM10. Played some Super Mario World with the Classic Controller. Works like a charm as long as you're not on a Sense rom.