There are some games that run natively under Linux. I'm no gamer so I can't give you a complete list, but if you give us a list of your interests, we could help you.
There are some Windoze programs that will run on top of WINE, as u02gtt said, but again not all. If you give us a list, there should be a way to find out.
There are Linux programs that are good replacements for Windoze programs, and more are being added all the time. If you are into office suites OpenOffice.org just released their latest product that has a high degree of Windoze Office compatibility, and there are others such as KOffice, Abiword, gnumeric that offer varying degrees of compatibility and are very good in their own right. Again, give us your interests and we can probably suggest a good replacement.
At home I have two desktop systems and a laptop. Mine is the laptop, it runs Linux exclusively and does everything that I want it to do. I can swap files with Word (.rtf/.doc in, .rtf out) with no problems in KWord. I can listen to music CDs (CDA, MP3, WAV, whatever) created on/for the Windoze machines. I can download files on one of the other machines and copy them to my Linux lappy. All with no sweat -- and I don't miss the Windoze experience one bit!!
Give it a good try -- jump in, the water's fine
!!