WINE is a free of charge, free software layer on top of Linux that matches Windows calls with Linux calls.
Cross-Over office is a commercial enhancement to WINE (costs money) to make some popular programs work better (MS Word, Photoshop, etc)
Cedega is a commercial enhancement to WINE (costs money too) that focusses on running popular Windows games on Linux.
Because WINE is in early beta stages none of the above will ensure Windows apps will run fully correctly (yet).
I suggest you go to appdb.winehq.org
to see if the programs/games you want to run are supported.