Xeons are good processors, but the only thing to watch for is:
1) clock speed. If your game prefers high core speeds vs multiple cores and/or hyperthreading, your performance might suffer a bit. Reason why is Xeons are locked down, and clocked lower than associated consumer i7 CPUs. This allows them to be rated at their max speed 24/7. And they'll handle that just fine. As long as you're getting about a 3ghz Xeon, you should be fine.
2) RAM. Some motherboards prefer and/or require very specific ECC RAM. Double check your motherboard documentation to make sure it can use either unbuffered NON-ECC RAM, or it will list in their RAM support list very specific part numbers for ECC RAM which has been tested. That's burned me once or twice with my servers.
3) Good thing is that the Xeons are higher binned in general than their i7 counterparts. They'll run cooler overall as a function of processor max clock.
4) Downside, wild overclocking is has been pretty much eliminated with everything after the Ex-xxxx Xeons. I have an X3470 which has a base of 2.93ghz, I had it up to 4.0ghz on air. You can possibly adjust the BCLK a few percent (maybe to 105), but no more 195 BCLKs like my CPU is at.