If you are going to run a linux distribution or bsd, you'll need to use wine to run your windows programs. You can see how those programs work using the wine appdb:
http://appdb.winehq.org/
If you use Ubuntu linux it is more user friendly than other distributions and includes the PlayOnLInux frontend to wine that will help you run games easier.
A lot of stuff runs just fine on wine; some stuff requires some tweaking. if you back up your windows system32 folder and the folders where your games are installed those files will often help because sometimes you need to use native windows dlls to play certain games and sometimes it is way easier to run a game from a directory where it was already installed under windows than it is to try and install it under wine. That said, wine is getting better every day.
There is also an option of using Cedega/Winex to have better support; that is a pay option though whereas regular wine is free
http://www.transgaming.com/
Another option similar to that is the Crossover suite which also builds on wine with some pay parts to provide better support
http://www.codeweavers.com/
I've never had to pay for thsoe pay versions to run my games and apps, though. I've always been able to use the free wine; it just takes some tweaking sometimes.
For a lot of programs there is a version or an alternative that works on Linux or BSD, for instance OpenOffice can replace MSOffice, runs everywhere, and is free. Obviously if you use a native linux or bsd version of your program it is free and works perfectly.