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First of all, if it's possible go out and support games made for Linux. The more people buy and play games to Linux the greater is the chance that more Games get Linux supported. 
Eventually take a look at MandrakeUsers.org Game List: Click me.
There's some Emulators out there so it's possible to run Non-Linux games on Linux. Though not all Non-Linux Games run well on the emulators, but most popular games does.
NOTE: Technical Problems with the Emulators shall be posted in our Emulation Forum and not in Games Forum.
Eventually take a look at MandrakeUsers.org Game List: Click me.
There's some Emulators out there so it's possible to run Non-Linux games on Linux. Though not all Non-Linux Games run well on the emulators, but most popular games does.
NOTE: Technical Problems with the Emulators shall be posted in our Emulation Forum and not in Games Forum.
Read what have been updated:
What's new!
Emulators:
Amiga Game Emulators
Window Game Emulators
Other things related to emulators:
Tools & Utilities
Links to related subjects:
CodeWeavers
Dosbox
Transgaming
Wine HQ
Zophar
NOTE! Some of the applications that are list here aren't Emulators like wine and cedega, but in lack of better terms and fact that newbies will properly look for words like emulator I find it fair to put it in this thread.
* * * STILL UNDER CONSTRUCTION * * *