I don't understand when people say that Linux isn't for gaming. Deus Ex, NWN and Quake 3 actually look better to me in Linux than they do in WinXP/98. And with CoH, I can't tell which OS I'm in, they are exactly the same to me.
There are two problems right now, as I see it. The first is that the driver quality on Linux right now is really sporadic. My nVidia cards work reasonably well, even on emulated games, like City of Heroes, but some ATI cards work well, while others are painfully slow.
The other problem is that getting Cedega working with a game is pretty difficult. I spent a fair amount of time monkeying around with it, and the only game that worked well was City of Heroes. Most of the other games that I tried either wouldn't install properly, or had performance or image quality problems. The games that are on the supported list seemed OK, but there are HUGE gaps in that supported list.
The fact of the matter is, if you want to play the latest titles when they're released, you're stuck with Windows for the time being.