CARRiON.FLOWERS: OP says no Linux.
Linux users immediately flood thread.
timppu: He seemed to have a misconception that he'd have to replace XP with Linux. That is not the case, they work beautifully side by side. The only reason why I wouldn't suggest that is if he has so little hard drive space that he can't run both comfortably side by side, but then the extra OS on the side doesn't take that much more room.
XP and Linux side by side to me means:
XP for playing (older) single-player Windows games. Disconnected from internet.
Linux for doing any productive work and going online.
I haven't really dwelled into running Windows games with Wine or Linux gaming in general, I haven't had the need yet, but it would be fun to experiment.
As long as the games you want to play are 32-bit and don't require anything higher than DirectX 9.0, you should be good to go with Wine. Not sure how the 64-bit version of Wine is looking these days...