I had friends running win32 games hacked to run on GNU/Linux (Unreal was one) but I personallu never looked into the issue. What is certain is that there are far more games written for win32 than for GNU/Linux and that the GNU/Linux ones are not as impressive as the win32 ones (the GNU/Linux community does not see games as its primary interest I suppose). There are a couple of good emulators out there (Wine, Crossover, etc.) but I do not know how they would work for games.
I am not much of a games person do I don't really know.
If you want to dual-boot go for Mandrake or, as it is called now, Mandriva. It comes with the best partition tool I have ever seen (DiskDrake) and is ideal for dual-booting (it resizes NTFS very well, including partitions with data on it!). It is also does not require any tweaking. For more serious use I would reccommend Debian (which you can install with Knoppix, Kanotix or with the new installed called Sarge). But "spending a month to get things to work" should not happen any more with GNU/Linux. 5 years ago maybe - but not anymore: you should pop in the CD, run the install with 2-3 clicks and that's it
(unless you do a advanced, more fancy, install).
In my case, I began with live-CDs, then with dual-boots, and now all I use is GNU/Linux (for 4 years now) and I never, ever, want to come back to the horrors of the proprietary software world. From time to time I have friends and relatives asking me to fix their computers and each time I have to use Windows I cannot believe that I used to use it for years and that I even coded for it (SQL/VB6). I bet you that once you are really comfortable with GNU/Linux you will never want to switch back
Kind regards & much fun with your computers!