I do have a very small hand full of games that I play through WINE, but those that make native GNU/Linux titles I fully support.
Eschalon: Book 1
On The Rain-Slick Precipice of Darkness: Episode 1
Unreal Tournament 2004
Well, none of the answers really fits, or lets say some fit in some cases.
There are things that I still have an installation of Windows for. Also now I have one or two games here where I will have a look into using Wine for those (older Windows-games), then there are games where an engine is available, like ScummVM for the good, old LucasFilm-titles (like Day of the Tentacle for example) and other games based on the same principle (some of those have been released into the public domain and thus even are available through the Fedora-repos), Exult, to play Ultima 7, PrBoom for Doom 1 and 2, and stuff like that.
But the majority of nonfree games actually runs in DOSBox on my PC, as these games are really old. I'm talking about games from the early 90s, around 93-95/96, games released for MS-DOS, like Bioforge, Crusader, System Shock (Part 1, Part 2 is for Windows) and all these cool games.
So, I would mostly tend to tick a DOSBox-option, if there was one, although I use different ways to play games, including enjoying native and fully free titles like Wormux, Widelands, Nethack or Torcs.