If you are lucky, it's possible to run Windows games under Wine ( http://www.winehq.org/ ) or CrossOver ( http://www.codeweavers.com/products/cxlinux/ ).
A large number of games can be run using CrossOver Games - A package dedicated to gaming on linux. Linky Compatibility report on Fallout 3 > >here
If you get stuck using cross platform software you could install XP in Virtual Box then play your games in the VM, what type of games are they? (high quility?)