For linux you have 3 choices regarding gaming.
1) Some games have a free linux port. For these games you need the windows cd and then then linux "binaries" (executables). Games that have linux binaries are Unreal Tournament, about all idsoftware games (quake3, rtcw, quake2 ....) and some others.
2) Buy a linux version of a game. Unfortunately there are not many real linux versions of games. The main linux porting house (loki games) went bankrupt. They ported Tribes2, Simcity3000 and various other titles. Those are still availible from http://www.tuxgames.com
3) The last option is "emulation". Not real emulation like for old consoles but more a bit OS emulation. There's a program called Wine (has a fork meant for gaming called WineX) that allows you to run windows programs on linux. The problem is that not all apps work yet and that it can be slower.