My Opinion 
Users of Ubuntu and other Linux distributions can run multiple Windows applications with Wine -- originally spelled WINE, a recursive acronym representing Wine Is Not an Emulator. If you have problems with the built-in DLLs (or APIs), it's possible to use native DLL versions to gain access to 100% of the functions an application requires. A simple example of this is when you install a game that requires DirectX 9 and the game doesn't start with Wine. If this happens, all you have to do is download d3dx9_25.dll from a site such as DLL Download or DLL Files and save it in:
~/.wine/drive_c/windows/system
I saw this in the comments for Age Of Empires III at the Wine Application Database (AppDB). This database makes it very easy to check if your program works with Wine, and if it has bugs -- and, if so, how to fix them. I never had problems with the installation, but I did have some issues with the autorun of some games. The Wine Application Database includes screen shots of the selected application, and a rating (Platinum, Gold, Silver, Bronze and Garbage).
Nowadays, I use Wine for Flash 8, Dreamweaver 8, the Flash decompiler, Remote Administrator (viewer only), Counter Strike Source, 18 Wheels of Steel, and Battlefield Vietnam. They all work great -- from the install to the playing. But, Wine isn't perfect if you want to play a game that uses securom or other copy protection. In that case you must use a no-CD crack to play. Moreover, some applications don't work at all. Despite its current limitations (it's still under development), Wine is a valuable addition to Linux. I'll continue using it until Flash, and all the games I like, have been ported to Linux.
But back to Wine... There are some commercial
re-implementations of the Windows API for Linux (most derived from
Wine) with a focus on specialities such as Gaming or Office. The most
popular is Cedega (http://www.transgaming.com/).
Subscribing to Transgaming (the creator) costs 5 USD per month (3
months minimum). After subscribing, you can download Cedega for free. I
tried it, but I didn't see any major difference between Cedega and Wine
(remember, Wine is free!), so I have continued to use Wine. But for
some games, Cedega works better. Therefore, I recommend you test them
both and decide which is for you.
