There are several sites that cater to playing Windows games under Linux. Some developers have been proactive enough to supply native Linux ports and other folk have supplied installers.
Here are some sites to get you started.
Various Games: http://www.liflg.org (Installers for many popular games)
Many Windows Games under Linux: http://www.transgaming.com ($5.00 US/month)
Many native Linux games: http://www.happypenguin.org and http://www.linuxgames.com