@Ant P.: Oh come on! Please! Have you ever compared UT2004 to Crysis? Or even Far Cry 1?

I agree with elanthis for a large part. Except the following:
Installing software is also an absolute nightmare on Linux. Even if a game developer were willing to package the same fucking binary 50 times for multiple versions of multiple distributions of the same OS, NONE of the current packaging tools are capable of handling games with 8+ GB of game resources in a sane manner due to a combination of a lack of authentication against repositories
What about the following:
  1. You click on your DEB/RPM/Whatever on the DVD of your game
  2. The deb-scripts (post-install, etc.) copies all the files needed to /usr/share/<game>
  3. Launch the game!

Even if your platform is not supported (you don't use DEB or RPM) you can launch a small script which asks for your password and lauches a terminal, which copies the files.

All the dependencies of the game will be included in the game-data on the dvd.