Cedega lacks SM 3.0 support, so newer games will not look as good or will not work at all under Linux. The upside to using Cedega is that you get the DirectX API without all the extra crap running in the background like you would under Windows. I still dual boot to XP to play games, though. Cedega also has a monthly fee.

Linux for everything else is great. I use Ubuntu 6.10 (Gnome-based distro). The install is super easy as long as you know a little bit about partitions (if you plan on dual booting) and everything is running well using Synaptic -- the package manager which contains a list of all your installed programs and thousands of other programs on the Ubuntu servers that you may want to install. And I second Unne's point that you can get Linux to look about 100 times better than Windows, especially with Beryl, the OpenGL compositing manager.