Playing Windows games in Linux is always going to be a doozy. I gave up PC gaming to make the switch to Linux. Or at least, I thought I did, when what actually happened is I gave up Windows gaming and discovered a whole new world of rather excellent free games and emulators in Linux that now take up more of my time than any Windows game ever did!
I've had some small success with WINE, in that my GTA Vice City works beautifully on it. Since that was the only game I wanted to salvage from Windows I'm a very happy Linux user. I can only imagine those of you who want to play the more recent stuff will be pretty dismayed at the state of things.
AMD Phenom X4 945, 4Gb Crucial 800Mhz DDR2 RAM, 1Tb SATA III HDD, nVidia 9800GT 512Mb