Playstation Plus does a couple things:
It gives you access to what they call their "Instant Game Collection" where you can download free games for both the PS3 and the Vita. These free titles are constantly changing. Some have included in the past Infamous 2, Little Big Planet 2, Spec Ops: The Line, and a ton of other games as well. As long as you are a Playstation Plus member and have downloaded these games you have access to them (even after they are not on the Instant Game collection anymore!) But, if you cancel your service, or don't renew, any game you got for free will no longer work.
Now, if you purchase things at a discount (normally DLC, but they do have select games, themes, avatar packs, etc...) that is yours to keep regardless of your status with Playstation Plus. If you had to pay money for it, you get to keep it indefinately.
If you go to the Playstation Store in the Games section you'll notice a Playstation Plus section in that menu. You can see all the free games and discounts currently on offer.