I use Ubuntu 9.04 and it's a very good environment for a newcomer.
Windows games do not work in Linux without workarounds. I have tried to use the WINE emulator, but probably I will opt to install Windows inside a virtual machine and use it to Windows-specific tasks like gaming.
You may also have trouble with certain proprietary media codecs, such as Windows wmw and wma, dvd playback and mp3 playback.
A very good and easy-to-use virtual machine is Virtual Box. It has a nice GUi and I managed to boot my old Windows 98 (!) with it ;-) XP is better supported by Virtual Box, so you should definitely try it out. Just remember those XP license codes!
Here's what I use for different tasks in Ubuntu:
Media Players: Totem, Kaffeine (for playing dvd's), Vlc, Mplayer
MP3 player: Audacious (and also Totem for this)
MP3 tagging: Audio Tag Tool
Image and photo manipulation: GIMP
Image Viewer: Eye Of Gnome (default), also GPicView
Office: OpenOffice 3
Ripping music from CD's: Sound Juicer
Burning cd's and dvd's: Brasero
DVD authoring: DeVeDe
Web browser: Firefox 3
P2P: Frostwire (you have to download this from the net)
Firewall: Firestarter (very easy to use)
Virus scanner: Bit Defender (download from the net)
Youtube downloader: youtube-dl (a console application!)
Tweaking Ubuntu: Ubuntu Tweak (very useful!)
Virtual machine: Virtual Box (as mentioned above)
Installing programs: Synaptic Package Manager
Getdeb.net is a great place to find programs that do not come with Ubuntu (also newer versions of programs). But most of the programs I mentioned are either the default ones or can be found from the Ubuntu program repositories (throuhg Synaptic Package Manager).
For media codecs, you should install "ubuntu-restricted-extras" from the repositories. You may also want to check out the Medibuntu website to find out about restricted codecs such as wmw, wma, dvd's and such.
Here's more about Linux in general and Ubuntu:
http://en.wikipedia.org/wiki/Linux
http://www.ubuntu.com/