I've heard wine/cedega work really well for gaming now.. I haven't checked this, though.
wine works so-so, and is annoying to set up. But it's free/opensource and runs quite well, once you get it going.
Cedega works pretty well, but all it's really doing is configuring Wine for you. It's commercial, so it sucks.
Linux is licensed under GNU, I thought. Hence the name GNU/Linux?
The name GNU/Linux comes from the partnership between GNU and Linux. But yes, Linux is licensed under the GPL, and most Linux distros are pretty picky about non-opensource components. That's why you don't see a lot of video-card and wireless driver support. If you're really curious about the evolution and linkage of GNU and Linux, find the movie Revolution OS.