Whenever you play a game in Wine, make sure that you write to the developer and let them know that there is interest in running their game on Linux. If we don't let them know that we want Linux-native games, then they will never write them.
I'm not much of a gamer, but I did buy Doom 3 because of the Linux support, the same with nwn + both exps. These days though, I mainly play Civ IV through Wine, and I'd love to get football manager working. Other than that it's old games like sam & max hit the road, full throttle, and Warcraft 3.. So I mostly use Wine for my games.. I often find the open source games a bit.. boring, sorry. Too often they feel like half-hearted clones of old bestseller games. I do mean to try out this Nexuiz-game when I'm back home, my old laptop which I use right now is hardly capable of pulling compiz smoothly
Titles I play(ed) and think these are important to me on Linux.
Most importantly ETQW and almost every ID title such as the Quake or Doom series with a native Linux port.
ioQuake3/Qfusion - because a lot of good games such as UrbanTerror or Warsow are based on it. Again ID Software is responsible for this.
Savage 2, Eschalon, Rain-Slick, Darwinia, Defcon, Uplink, Penumbra, etc. - because these are great titles and were developed from Indi developers which plays an important role in this whole Linux Gaming market.
EVE-Online - It's actually cedega/wine based and not really that great supported, but still one of the few MMOGs out there which bundles a Linux package together.
Nexuiz: completely awesome but at the same time very traditional
Tremulous: buggy as crap and old as moses, but still quite unique and strategic
Urbanterror: because plasma weapons aren't all that satisfying when you really just want to shoot things up.
Warsow: looks like it would be awesome, if, you know, it worked. Meh, I'll just blame nVidia..
All of them are important to me! If it's got linux binaries, I buy it. I even search eBay for Loki and other releases that are out of print. Here's a list of only a few setup on my computer:
Duke Nukem 3D (eduke32)
Enemy Territory: Quake Wars
Hereos of Might and Magic III
MAME (gmameui) and other countless emulators
Penumbra: Black Plague
Quake 3 (ioQuake3) + Mods
Return to Castle Wolfenstein
Serious Sam 2
Serious Sam: First Encounter (icculus binaries)
Serious Sam: Second Encounter (icculus binaries)
Soldier of Fortune
Unreal Tournament 2004
And if you want to count Wine, I run Steam to play Day of Defeat (classic) and World of Warcraft. It's a shame there isn't a native client for World of Warcraft, seeing as the beta had one