From my experience, I can say that it definitely depends on the calibre and the age of the games you plan on using. From what I've seen, vmWare Fusion works fine with the 90s-era games that I have (Dark Forces II: Jedi Knight, SimCopter, RollerCoaster Tycoon, and a few others) but stumbles (or completely crashes) on the few 2000s-era games that are in my possession.
Ultimately, if you're looking for a smoother, stable experience, then native Windows via Boot Camp is your best option. Otherwise, if the selection of games are considerably old such that the quality of the games wouldn't matter (such as in my case), then you could use Fusion for gaming.