I was waiting for a new iMac but it didn't come out so I'll probably switch to a new Mac Mini : can anybody advice a good solution to play games with it ?
The Sonnet Breakaway with RX 580 is one of the solutions officially recommended by Apple, with the RX 580 Gigabyte Gaming Box a popular minimum size alternative.
If you are buying your own enclosure to install a supported GPU card of choice then the Mantiz Venus and PowerColor Devil Box are frequent recommended since they double as hubs with both USB ports and a SATA connection for an external internal SSD.
Finally the BlackMagic GPUs are optimized for silent operation and support Thunderbolt chaining for connecting UltraFine displays, but since you will pay dearly for those features they are not typically recommended for the average user.