I've just got warcraft 3 today and it runs fine in Linux using winex. Go check out
www.transgamer.com and see what games they support and see if they have your favorites working well. Id software games run in linux, doom/doom2/quake/quake2/quake3 and the upcomming doom3 and quake4 aught to run well in linux too. UT2003 has a linux installer hidden in the windows cd, I beleive. The performance is directly comparable to their windows versions. Using winex you can easily get most quake2/3 engined-based windows-only games running in linux. OpenGL is not a big deal for linux though since it supports it natively, but directx is, and I beleive that is were the emulation part of wineX plays the most part, also the various cd protection scemes and install checkers are a big problem too. There are a few directX games that run well on linux, too.
Trouble is of course that there is not much demand (well, perceived demand) for linux ported games, which is a sad thing because linux is about the perfect platform for developing games and 3-d graphics... Most people are willing to dual boot with win98 just to play games. Of course once microsoft gets it's head out if it's butt and gets around to releasing versions of windows that aren't childs play to install illegaly (corporate versions my ass) then this will turn around.
Oh, well...
As far as file formats and stuff, OpenOffice.org can read/write properly most every windows format if that is the sort of thing you are talking about.
With nice modern drivers like those created by Alsa sound support is par exalance in linux, mp3s and other formats sound as good in linux as any windows box, as long as you are using supported soundcards. My onboard audio sounds at least ten times better in linux then windows, even using 3 or four different drivers(including latest from manufacturer) I never got it to work well, but now I got the audigy (which is mostly supported using the same drivers for the 5.1 blasters) sound card it is very interesing to hear depths of sounds and subtleties in music that I miss using any other audio device I own.
but its all a trade off. The more control you have over the OS the more details you have to worry about and get configured correctly, which is a big turn off for most people, if that is a issue then check out distros like SuSE, Mandrake or Redhat that will do a good job of minimizing your involvement in setting up your machine. You can expect to fry a installation 3 or four times with fooling around with the OS. (what does "rm -rf /*" realy do?)
The biggest favor you can do for yourself is finding out what and how your hardware is supported in linux before you begin the install, write down details like your chipset, the different names for different peices of hardware.. Like my motherboard is a k7s5a, but it has a sis735 chipset etc etc. I believe there is a way to get a detailed configuration printed out of windows device manager, but I forget how to do it. SuSE and freind's installers do a very good job detecting a configurating hardware, but it's best to ge prepared. Nothing is more irritating in aborting a install have way thru because you forgot the type of ethernet card you are using, or losing were you wrote down your DNS server's ip addresses.
The Ideal situation is were you know your are building a computer that you know you will install linux on, you can pick and choose which bits and peices and get ones whose manufacture is willing to work with open source developers to make sure that their products will work properly in linux.
One good trade off is knowing that once you get everything setup correctly and to your liking you won't have to redo it 8-10 months down the road when normally windows will start getting a bit high mantainance, and starting to need a reinstall.