I've heard many people say that gaming under Linux is almost impossible. Well, that ain't the truth! Apart from native Linux games (like NeverWinterNights), Transgaming provides you with Cedega, an enhanced version of wine that supports DirectX. That way you can get your favorite games installed. Agreed, not all of them work but most of them do. Have a look in their Games database to see what games are supported by Cedega.
And for the unsupported games, you might wanna take a look at the UnOfficial TransGaming Wiki on how to get them running too. Indeed, a vast resource of games 4 u to play under Linux. Try a piece of this!! :P.