Like most everyone here, I would recommend doing a Dual-Boot system, because as most have said, it's not the same, and definitely won't run all your games.
Most newer games run with TransGaming's Cedega (WINE offshoot), but many old games don't. The support for games mostly revolves around FPS, RTS, and a few RPGs. Sports and Racing games tend not to work, though some newer one's like NFS Underground (1/2) do work with little to no issues.
For Windows Apps many recommended WINE, you could use that, or save some hassle, and use CrossOver Office from Codeweavers. It costs money, but you get support, and easy installation, etc, and that money goes into the WINE Project, furthering it's development.
Which distro you go with (obviously you've already chosen to try Ubuntu) is dependant on what you want to do with the system. I've used Slackware, (K)Ubuntu, SuSE, Mandrake/Mandriva, Red Hat/Fedora Core, and Xandros. All have their strong points, and they all have their weak points.
Slackware is easy, but is more in depth, and pushes you to learn the core of Linux, and such. It comes with some tools to make setup of the system easy, and installs on almost any system, but it's not for the faint hearted, or newly acquainted.
SuSE has a great distro overall, and their Setup/Config tool YaST is very very helpful to the Linux newbie. I didn't like the fact that like Windows, customizing it can be a chore sometimes, but otherwise awesome deal.
Fedora Core is great for newbies, but very unstable. Over the past few years using FC1, 2, 3, and 4, I've seen the instability of the system increase with each version. Maybe that's just my experience, and/or my hardware, etc. But it crashed very frequently for me.
K/Ubunutu is decent, they have some nice tools, inheirent to being Debian-based, but setup can be a pain once in the system, and I experienced a lot of lock ups and crashes on it in the last version (5.10). They do have awesome support forums though, and can be invaluable to a person just starting out with Linux.
Mandriva is great overall, from setup, to config, to working with the system, and it's neatly organized, and such, but my biggest complaint with it, is they're customizing it too much. They've pretty much borked the Samba (Windows) file sharing in it, and sometimes finding software can be a pain, though they do have a few places you can get plenty from.
Xandros is ok, but my biggest problem with their system is you have to buy it if you want things that come standard with other distros. They limit things like CD Burning, you have to pay to get KOffice (MS-Office Compatible Office Suite from KDE), and other applications, and their "Xandros Network" offers very limited software choices considering what you pay for it. It's been awhile since I used it, so it may be better now, but I was definitely not impressed with it.
On the topic of how long people have been using Linux, so far, I seem to be the oldest Linux user posting. I've been using it since early '97. Starting with Slackware 3.2. I can honestly say it was a struggle to learn, but I had a blast, and it's install instructions were much more simple than Red Hat's at the time. I had a choice between the two, and RH just made things too complicated to me. As I recall, the FTP download was all setup for 3.5" floppies, and you could order a CD-ROM set from Walnut Creek CDROM (www.cdrom.com
then). I remember having to fight hard to get X Windows running for the first time, just to be impressed by running an early version Netscape Browser in it. LoL Of course that was a later version than my first, and I tried out AfterStep (still in active development, last I checked), and FVWM95 Window Managers. It was quite interesting. I didn't have a clue what I was doing, but I was having fun. :P
Anyway, to cut the reminiscing short, because I could probably go on forever with it, those are my experiences and recommendations.