I use boot camp and boot into Windows, and play games there. But I don't recommend it. Really I only do that now because I play with Windows users who are my friends. So I am agreeing with Irishman, the app store has a surprising plethora of games available. If you do want to venture into the world of buying a copy of Windows and dual booting, I find anything made before 2008 runs pretty decent.
Might I also recommend Rome Total War? It is a military strategy game that was ported to Mac. Also check out Feral Interactive, they work on porting Windows titles to Mac.