A surprising number of popular games work quite well under Wine (which is after all a compatibility layer and not an emulator). You can check on the
Wine Application Database to see if your favourites will run, as well as getting tips on getting them to perform optimally.
If you have a licence for Windows XP (or even if you don't, if you're not particularly bothered by the legal niceties) you can also set up a virtual machine to run games in. The performance hit involved with that may be problematic, though.