The only games I've encountered that don't work on Linux are ones where the developer has intentially designed it that way. Some developers are paranoid about cheaters and one of their solitions is to tell all Linux users to kick rocks.

Aside from that I've encountered a handfull of games with performance issues on Linux (especially with Intel/Nvidea hardware), but most run just fine. Some technically run better on Linux, but I haven't encountered any where the difference was perceptable to me.