Relevant for 2022.
The short answer is: it depends on what games you play.
Now, the long answer.
Of course, the main reason is that you get to use Linux instead of Windows. Linux has some advantages:
But I can think of few small advantages concerning games as well. Namely, some games that have DRM on Windows don’t have it in their Linux port. Also if you want to run game with 16 bit executable on Windows, you would have to use a virtual machine with old Windows version, but on Linux you can run it just using Wine. As time goes it might actually be significantly easier to run old games on Linux than on Windows.
In case of native games, it is simple. You install them in Steam or download an installer (e.g. from GOG) and run that. And you are ready to go.
In case of windows games, you can enable Steam Play in Steam which will use Proton (modified Wine) to run them. A lot of games will run like this without an issue. Some will run after using the right parameters. You can find out what games will run and how well in ProtonDB.
Outside of Steam you rely on Wine and if you want, Lutris. Here it takes some effort to set things up. While some games run with default Wine setup, most require tinkering for better performance or to make them run in the first place. Lutris makes this easier and apart from Wine it can also download various console emulators.
However, Wine is not perfect, so even if you master it, you will encounter games that you can't run. Most notably this is because of anticheat or DRM software. At that point you can either wait and hope or set up a virtual machine running Windows.