For regular applications (not games) your best bet is going to be either wine ( http://www.winehq.com ) or Crossover Linux ( http://www.codeweavers.com ) to run windows programs. Crossover Linux is not free, but I've heard it's well worth the expense since it's fairly easy to use. Also, it can play many games as well.
For gaming, the best I've used is Cedega ( http://www.transgaming.com ) -- it's not free, they use a subscription model. It's worth the expense, though, and at any time you can cancel your membership and continue to use the software the membership gets you access to support, forums, software updates, and votes towards what games should be ported next).
In addition, a number of good games have linux versions, such as Quake and Doom.
Good luck.
PS: as mentioned, Windows software works best under Windows. But I assume when you ask the question you did, that you are making an educated decision not to use windows in favor of linux. So the best idea before making a snap decision is to get educated.
If you are a glaring newbie to linux, you CAN still use it. Regardless what people say, it IS ready for public consumption, if you consume the right flavor in the right amounts. You may want to start with a linux distribution that is very user-friendly such as Mandriva Linux, PCLinuxOS, Knoppix or Ubuntu, all of which you can run as something called "LiveCDs" -- this means you can burn them to a CD or a DVD, and then boot your computer from the CD or DVD. This way, you can TRY linux out before you destroy a hard drive installing it.
Then, you will know for certain whether or not this path is for you. Google or Yahoo searches for the above names will lead you to places you can download CD images or orders CDs usually just for the cost of shipping.