Most games are compatible with Windows, and nothing else. Some of them have Mac versions, and some of them have Linux versions (Quake 4, Neverwinter Nights, etc.), but most of them just run on Windows.
So if you spend a lot of time playing recent games, you should stick to Windows. But you can still install Linux, keep Windows (see the install section), and use both of them, depending on your needs.
If you do like to play games but aren't very demanding on their recency, note that software like Wine or Cedega can help you run not-so-recent Windows games under Linux without any problem.
Note the upcoming Steambox will be running a fork of Debian and CEO of Valve (Gabe Newell) has pledged to support Linux with all of the company's games (Team Fortress 2, DOTA 2, Half Life, etc.) and upcoming titles.