If you want to game for no money on Linux (and what I am about to tell you applies to any Linux, not just Ubuntu) there are a bunch of Free Software/Open source games that are distributed at no charge. If you are into FPS games they have Nexuiz, Warsow, and Alien Arena which are all very fast paced quake-like shooters. If you want RTSes, there is one game that i've heard of but haven't tried: Boson. It is supposed to focus on modern warfare, from what I have read. There are a slew of other Free Software/Open Source games available as well besides the few i mentioned.
If you want to run your windows games on Linux, you have two options: WINE ( it is NOT an emulator for windows, and is free of charge) or Cedega (costs money and is based on Wine). WINE will run quite a few of the more modern games as well as plenty of oldies like StarCraft. If you want to run Crysis, it is possible but there will most likely be a performance penalty incurred as a result. Suffice it to say that your mileage will vary from game to game with WINE. Whereas WINE is a general purpose program to help you run Windows programs on Linux (not just games, but programs like MSOffice), Cedega is focused on games and costs money. Cedega is based on WINE, but is extended by the company that makes it and may run games a little bit better, I believe part of the subscription you pay to use it includes support in getting games to run. I haven't tried it myself, so you may want to do some research on it and see whether it'd be worth the investment for you.
Finally, there are also native Linux versions of Windows games available, most notably almost any game that comes from id Studios. So basically any Doom game or any Quake game can work natively (they either have versions you can buy or Linux installers that use your windows disk). The same goes for just about every version of Unreal Tournament with the exception of UT3 which is still being produced for Linux. Lastly, it may be possible that Valve is porting their source engine to Linux which could mean that we will be getting ports of the Half-Life Series!
Linux is a great OS all around and is pretty stable and if you don't like Ubuntu, try a different distribution! They all have their own features to offer and are getting better all the time. Not every windows game will run perfectly yet, but support is also improving there. So, in the mean while, if you can't run a game that you really want to play, dual-booting is also an option for you so you can at least get your feet wet with Linux.
-Zorak
P.S. Sorry for the long post!