Linux isn't really for gaming as most people use it for business, server or stability reasons. Direct X doesn't exist in Linux because it is a Microsoft and Windows technology, but OpenGL does, and this gets installed with supporting graphics card drivers in Linux.

Some PC games do have a Linux installer included with them, or available for download. The original Half Life and Quake for example. There are also lots of smaller games developed for Linux. Have a look at http://www.linuxgames.com/ for more information.

Also don't forget that there are also a lot of emulators available for Linux too, include the Linux version of UAE.