When you say "Windows games" you mean "Windows only" game, because there is Windows games that also run under Linux and Mac. But in the case of running a "Windows only" game in Linux check out the possible Windows compatibility layers. (@mfillpot Wine is not a emulator).

You can check out there sites and they list games and there compatibility, they are rated depending on the amount of issues to expect. There is always advances made so it can be wort to test with the latest version (of Wine for example), sometimes it's also better with an older version so check the compatibility list.

So here is some stuff to check out:
* Wine (free): Windows compatibility layer, http://www.winehq.org/
* PlayOnLinux (free): front-end to Wine can be more easy to use, http://www.playonlinux.com/en/
* CrossOver Games (nonFree) : Closely related to Wine, some differences. http://www.codeweavers.com/products/cxgames/
* Cedega Gaming Service and GameTree Linux (free GameTree Dev ID), http://gametreelinux.com/
* Bordeaux for Linux ($10.00) http://www.bordeauxgroup.com/store/bordeaux-for-linux

Best regards

(@Aron Wine can be called an emulator, virtual machine, etc. It does not matter that much...)
I would have to agree with mfillpot on the fact that it would just be alot better if you dual boot. Or if all you want to do is play around with Linux, you may want to just consider keeping it a Live CD and put the CD in every time, as long as it's fast enough for you to run it live. Either way, if you have any questions, feel free to shoot a message my way.