Below are just a couple of games that I have working. According to the Wine software database even newer games work great such as Call of Duty Black Ops and Starcraft II. I have an older computer and doubt that it play those games so I didn't even bother to try.
Here is Far Cry working under Wine. It does play in full screen but to squeeze more frames per second out of it, I've been playing it in a window.
|Far Cry in windowed mode|
Not really much to see but I can verify these games work great. Like I mentioned earlier, newer games run also but I'm on dated hardware.
Many people have reported that a lot of games run better under Wine than Windows. I'm sure much of this depends on several variables. For example OpenGL runs native in Linux, so games using the OpenGL interface could run better in a stripped down Windows environment as opposed to a full Windows install with many Windows processes running in the background. Mileage will vary from install to install and game to game.
If you want to see if you're game of choice works in Wine check out the Wine database. On the site you can see how well your games work by a ranking system. Platinum meaning that it works great and garbage meaning it probably doesn't work at all. If you scroll down to the comments section of each game, there maybe tips on how to get your game to run or run better. With a nice gaming rig you could install a distro like Ubuntu and not missing anything from the Windows world including your gaming habits.
NOTE: My PC specs:
AMD 64 Athlon 3000+
Asrock Dual-Sata II motherboard