It's great that you're looking to move to Linux and I wish you all the best with it. The link Emerson posted is a good place to start to help you get a good idea of what distro you might find most agreeable when starting out. However, I would recommend that Gentoo would not
be a good place to start. It is a very solid OS, and very powerful and capable, but it is not at all for the beginner. I've been using Linux for quite some time now, and I don't believe that I would yet be able to install and run it. Really, the install is the first major obstacle to it. People report having spent 3-5 days installing Gentoo.
The difference that Gentoo brings is that it is a "source based" distro. Meaning you compile and install programs from source code, as opposed to downloading pre-compiled binary installers. And while this is a useful thing, it can be daunting to new users. Definitely check out that link from Emerson and see what that has to say and depending on what it says, you can check around and see what's out there. Ubuntu is a great distro for beginners, where you can get in get your feet wet and get comfortable then maybe move along to more complicated distros.
As for some of your other questions: nearly all distros have a built in firewall called iptables. There is usually a graphical front-end to this that will allow you to make changes according to your needs. Distros like Fedora have a very strong security feature called SELinux. As for typical threats, that really depends on what you're going to be doing. Typical desktop users will have little to worry about. It's when you start opening yourself up to the outside that you have a problem. But as long as you're not running a web or mail server, then I don't think you really have much to worry about with threats.
WoW is one game that runs very well under Linux. You can use the Cedega service to play, but I have actually heard a number of times that using just Wine will run WoW wonderfully. Wine is a replication of the Windows application layer, which basically makes the program you're running think it's running on Windows. It's a free application. Cedga has a small monthly subscription fee. But you can check out Cedeg's website to check out a list of games that you can run with it.
As for other applications, Wine will be good for quite a few, but not all. But you can purchase a program called Crossover Office which an implementation of Wine, but with a bit more fucntionality. You can check them out http://www.codeweavers.com/products/cxoffice/
and there you can find a list of software that is compatible.