Having used both, Bootcamp is better for Windows games, hands down.
If you are looking at virtualization software, I would start with VirtualBox instead of Parallels or VMWare. I have used all 3, and there was a time when VirtualBox was much rougher around the edges than Parallels or VMWare. But, VirtualBox is now a very polished piece of software...and it's free.
Because losing all your work and access to all other aspects of your Mac just to play a game is, IMO, just not worth the hassle.Bootcamp (native as some prefer) is the best. Why settle for anything less than best?
Games that I have run via Parallels with no noticeable performance issues that I would consider "recent" games:
Torchlight 2
Path of Exhile
The Old Republic
Skyrim