I second all of Anahata's recommendations. You might look at
SimplyMepis which is another Debian-based distribution. Burn the download to a CD and try it out as a Live CD on your own computer - it's a little slow to load, but operates at near normal speed, without touching your hard disk. I marginally prefer it to Ubuntu for its stability.

It is possible to install Windows after Linux, but you will have to edit the boot files to get the dual boot. It's easier with Windows first.

I dual boot Mepis with WinXP, but rebooting is a pain and I only boot XP when I want to use my GPS or rapid film scanner (which only come with Windows drivers). For actually working with a few Windows programs, I also have XP running in VirtualBox on Mepis, so I can switch between Windows and Linux applications.

Can't help with games, but there's fairly active discussion at mepislovers.org and they seem to have a lot of Windows games running one way or the other.

Phil