i'm trying to get games running onder linux for the past 2 years, and i would not say it's impossible.
i must admit, gaming in windows still feels better and does have a better performance. nevertheless, i can get WOW, oblivion, star wars empire at war, c&c generals, civ4 and many others to run in just about any distro.
if you are new to linux, i suggest you use either mandriva, suse or ubuntu.
you need to install "fontforge", witch is usually provided on the distro disks. you allso need some other dependency's, but these are in most cases allready installed.
go to http://www.winehq.com
and download wine from source.
unpack using "tar jxf wine-(versionhere)" depending on the version/name of the package. this would extract the package.
go to the newly made directory and run "./configure"
this will show a lot of text, but the end is what you need.
look at what the "warnings" say, they will warn you of missing apps/libs. if any is missing it could have dramatic results.
(eg: if fontforge is missing, you won't have any fonts)
after this, run "make depend && make"
all this as a normal user, in a terminal windows inside your X server.
now you have to login as root (using "su")
run "make test" to see if it just hangs, if not, run "make install" to install.
now run "winecfg" and set it up according to your needs/system.
this would get you as close as i can bring you to running games under linux.
the rest, is all a matter of personal choice. i find suse and mandriva best for multimedia, but that's just me.
now, if you want to play games and be rid of virusses and other crap, best you can do is running both windows and linux in dualboot. a linux for everything that has to do with internet, and a windows for games.
you can still safely play games on the internet with windows, it's mainly the surfing and e-mail that's the problem.