Linux is my antivirus
Do you still use windows for stuff?
That's where it gets tricky and it varies greatly but getting better every day.
Very few with anti-cheat work on W.I.N.E. but most others can (Valve is making progress here).
Sometimes it's easier than Windows to install and backup games and sometimes the performance, especially older games, can be better than in Windows, other times it is an absolute nightmare to get working, might run slower and whether it works at all can depend on multiple variables; what version of W.I.N.E., what GPU driver is in your repo, and even more sketch, what compositor you're running. Wayland is still not well supported by W.I.N.E. and even when it works a simple update can break it.
Some Steam games are quite easy, like the Borderlands series, I think it's like one minor change to the start command to get running, takes all of 30 seconds once you know what to do and it runs great after that. Some games are even native, like Left 4 Dead which runs great (of course).
I have one old Windows game (Command and Conquer series) that while it took a bit to get it working, now runs better and more stable than Windows and I've been using the same install for years on multiple installs by just backing up and copying over a single folder (no re-install needed), try that with Windows. GTA San Andreas is similar. The same happens with my my graphics editor (I haaaaaaate GIMP) and 3d rendering program, it's a simple copy paste to put them on any Linux system.
Compare that to Fallout New Vegas and 4, while I have gotten them to work, the first time was tough, second was easy (I took notes) and the third time I gave up after a few hours. The exact same install method that worked before no longer does and this is not uncommon. Performance was almost on par with Windows the first time but not quite there the second. GTA 5 and GTA online, Bioshock 1 & 2 were all minimal hassle and ran just fine, not sure how they compared to Windows but ran fine however Bioshock Infinite was a non starter.
I attribute most of these issues with my use of Wayland and since I have a spare drive, sometimes it's just easier to drop into Windows. If it's a new (to me) game, I try and get it to run in Linux as I'm probably going to be playing for a while and it's worth doing it to not dual boot all the time. If it's an older game I've beaten and just have an urge to play I will usually give it a shot but I won't spend hours on it because sometimes I only have a few hours to play in the first place so I just drop to Windows.