Many games which are available for Microsoft Windows™ can be run on Linux by using an emulator, such as Wine or Cedega.
These emulators only work on x86 (Intel-based) computers, and will not function on AMD64 or PowerPC computers.
Wine (free)
Wine is free software, and is able to run several popular games, such as World of Warcraft® and Unreal® Tournament. For information about Wine, see the Xubuntu wiki.
Cedega (commercial)
Cedega is based on Wine, but is optimized for running Microsoft Windows™ games. Cedega is commercial software and is therefore not free, but it is able to run more games than Wine. For information about Cedega, see the Xubuntu wiki.