Different strokes for different folks. Although if your saying that Windows is like a caddy... well then I have to realy dissagree.
Also you should realise that your playing the default games that come along with the default install. What does Windows have? Minesweeper, pinball, and some card games... not exactly Unreal Tournament, there.
I like Linux because of:
1. Respects my freedom. I can copy it, hack it, give it to my friends. All of that is encouraged, rather then illegal as with Windows.
2. Robust command line. I like the command line. I like typing crap out and doing little scripts for automating things, it's much more difficult to do that with a GUI-centric OS like Windows. It may look like MSDOS, but thats like comparing a GUI on a Apple II vs the gui for OS X.
3. Lots of choices in software, lots of customization. If I don't like the default browser or media player I can exchange it out for another one, there are a lot more choices then generally what you get with Windows. I can change the behavoir of the windows to suite me. I can change out the file mananger. I can use minimalist window manager, I can use a full desktop enviroment. Whatever I want. You have a very wide range of customization you can do.
The default setups can be rather dull, but I am not restricted to a one-size-fits all setup. (think sweat pants vs tailored clothing)
Also I like having access to 'deep down' inside the OS.
4. Not a crippled version of a more expensive OS. (like WinXP home vs WinXP Pro vs Windows 2003) With most Linux distros (My favorite being Debian, next being Ubuntu and then Fedora Core). I have the full capabilities of any OS being used on any enterprise enviroment. I don't have limits on the services I can run. I don't have limits on the software I can install, or use. I dont' have licenses to worry about. My favority Office productivity software doesn't cost extra. I don't have to pay extra for programming tools, or the ability to run a full-fledged web server. I don't have limitations on the amount of CPUs I can use, or the amount of connections I can have.
Plus the networking capabilties of Linux is much more featurefull and have better performance then what you can get from Windows.
5. The OS's capabilities increase with your knowledge. The more you know, the better it gets. It's the same thing with Windows to a certain extent, but the effect seems to be magnified by the openness and customizability of the OS.
6. At least with Debian/Ubuntu (and to a lesser extent Fedora) I have a whole host of free software aviable to me. All of it easily installed and easily maintainable.
When I update my OS, I do not just get my core system updated as with Windows, but I get the entire wealth of software I installed using apt-get/yum updated automaticly. Media players, browsers, window managers, services, Free software games, word proccessors, graphic tools, etc etc. All of it, if it is free and installable (around 15,000 software packages are aviable to the Debian 'unstable' users + third party repositories for legally questionable material like dvd encryption decoders, and restricted media formats such as wmv or mp3s and such).
Every update these things just get a tiny bit better, and increase very slightly in capabilities. I update once or twice a month and since I track Debian 'Sid' I can do this indefinately without ever having to worry about having it go obsolete. I've had OSes that have outlasted the computers they were installed on. I've copied them from disk to disk and stuff like that rather then reinstalling. No slowdowns or decrease in stability (although during updates things do break, usually in small ways and then only rarely, but it's easily repairable.)
7. Inexpensive. I only pay for what I feel like paying for. I pay 5 bucks a month for Cedega updates so I can play the odd Windows game, although I much prefer Linux native games for obvious reasons.
I have eliminated all reasons for having to warez for software, which makes me feel much better. I use stuff people WANT me to use rather then having to rip off somebody. Occasionally I donate to good projects, and that's about it.
8. Learning experiance. I like learning about how things work, weither it's mechanical or electrical or to do with software and networking. With Linux I can learn how things work, how clusters work, how programs and programming works. I can change things and play with things and have a direct impact on the OS and software I am using. Sometimes for better, other times for worse. Then there are always knowledgable people that are whiling to help you out (as long as you do your homework and put forth the effort and show it).
*shrug*
Many people would considure stuff like that a complete waste of time, and I suppose that's OK. Different strokes for different folks. Linux distros are definately not for everyone and if your life revolves around games, or at least the sole reason you use computers much is about games, then Linux is not very hot compared to windows. But I have more then enough nice games on Linux to waste more time then I should on games...