I’m a Linux users since 2003, but I always had a dual boot machine, with a windows only to play games. I tried wine/cedega/crossover, but it doesn’t work with all games.
Xen and PCI passthrough, with a Linux host and Windows guest is the best setup I come up with.
I use Linux (Ubuntu) most of the time, and when I want to play, I just launch my windows virtual machine (it takes 30s), and I can play any game without performance loss (compared to having windows installed on the same computer). after playing (and even during the game) I can switch back to Ubuntu easily to check e-mail, browse the web, …
I posted a short video on Youtube to illustrate :
Steam and a few games are coming to Linux, but in the meantime, Virtual machine with PCI passthrough is the way to go !