I don't play the open-source games much, and if a game doesn't have native Linux support then I avoid it. If I absolutely HAVE to play a game that only runs in Windows, then to be perfectly honest I will usually download it. But this is very, very rare.
Let me say that I am on general principle against piracy. Most justifications for it are lame, including mine, but here it is: if a studio releases a game without Linux support, what I hear is, "Thanks, we'll do fine without your money." So that's the way it is.