Here's a link to a list:
http://project1557.wetpaint.com/page/Pulp+RPG's
Some ideas that come to my mind:
Terra Incognita is a roleplaying games of exploration, intrigue, and mystery, featuring adventurer-scholars whose exploits span the late Nineteenth and early Twentieth centuries. Armed with extensive training, unpredictable technology, and unimpeachable discretion, NAGS Society Members travel to the Four Corners of the globe — exploring unknown lands, investigating mysteries, and uncovering ancient knowledge.
It's derived from FUDGE (as, via FATE, is
Spirit of the Century, which coyote6 mentioned).
Terra Incognita: The NAGS Society Website
http://www.evilhat.com/home/sotc/
Hollow Earth Expedition is, I gather, especially concerned with what its title indicates. However, it might be worth learning more.
http://www.exilegames.com/games/hex.html
Not so specifically focused:
Call of Cthulhu is set by default in the 1920s, but is easily adaptable. I seem to recall supplements or scenarios set in the 1930s.
(There may even be a more specifically applicable work with similar rules, perhaps as supplement to Chaosium's deluxe
Basic Role Playing book.)
Call of Cthulhu d20,
D20 Modern,
True 20,
Mutants & Masterminds, or something similar, might work well while keeping closer to 3e D&D.
Old RPGs set more or less in the period include:
Two Indiana Jones games. The one from TSR was poorly received. (As an ironic touch, the burnt remains of a copy form part of the Diana Jones Award for excellence in game design.) All I know of the one from West End Games is that it is at least not so 'infamous'.
The Nile Empire in West End's
Torg is, as I recall, evocative of pulp magazines and movie serials.
Daredevils (FGU) is, I have heard, on the complicated side.
Justice, Inc. uses the Hero System.
Crimefighters, from an early-1980s issue of The Dragon, is geared to the exploits of figures along the lines of the Shadow and Doc Savage, but could handle less fantastic characters as well. It is very brief (20-some pages).
Mercenaries, Spies and Private Eyes is not period specific, but might be of special interest if you're a fan of
Tunnels & Trolls.
Gangbusters was for 1920s cops and crooks, private dicks and journalists. With the "character class" system, it would take a bit of work to add more types. However, I recall it as an excellent game system.