Short bio: Computer Scientist, FOSS supporter (read more)
Tux Machines (TM)-specific
As most already know, it is possible to play some Windows games in Linux using Wine. Additionally, there are two prominent commercial spin-offs of Wine that are both designed specifically for gaming: Cedega and CrossOver Games. At one time, there was little difference between the three, other than the graphical configuration interfaces. But over time, each has developed its own feature set and, in some cases, support for Windows functionality that the others do not possess.
Wine is completely free, and most Linux distributions make it easy for users to install it. Cedega is available for $25 for a 6-month subscription. CrossOver Games sells for a one-time fee of $39.95. Wine and CrossOver Games are also available for Mac OS X. The makers of Cedega sell a similar product called Cider for Mac users.