You can run some games that have Linux versions, this includes:
Quake 1, 2, 3, and 4
Doom 1, 2, Final, and 3
Return to Castel Wolfenstein
Wolfenstein: Enemy Territory
Unreal Tournament 1, 2, 3, 2003, and 2004
Coming up are Enemy Territory: Quake Wars and Unreal Tournament 2007
Anything else, you'll need Windows or Cedega, which is a pain in the rear.
There are also some free games like
Nexuiz which are pretty fun.