#pragma by definition is for compiler/pre-processor directives that may be platform specific. It looks like you're talking about MSVC++ #pragmas here. You can find their full list, or the full list for gcc.
Other compilers will have completely different lists.
Back on MSVC++, though, one of my favorite pragmas is #pragma warning. I usually build code with "treat warnings as errors" enabled, and then surgically disable certain warnings that I've reviewed to make sure aren't causing problems. This allows the compiler to help me detect more problems during build.
