I guess there's always wine but that doesn't seem to be moving quickly.
The problems with wine are due to regressions and linux drivers. People change something in a dll reimplimintation to fix one program, and wind up breaking another. So you see that heroes of might and magic 3 had platinum compatibility in wine 1.4.3.blah, but crashes under the latest version. Then you can run into problems where it crashes with intel's and amd's drivers - but runs fine with nvidia. So your playing the lottery when you try to run a game under wine.
I've heard wine under windows is possible, but only in safe mode.
No offense to the wine team, they do a really good job. Its just I've given up on linux gaming. If you can afford a windows license, there really is no reason to use linux (edit) for gaming - the games are all closed source and non free, so ideologically it doesn't matter to me.
Edited - there is no reason to use linux for gaming
Also, I assumed GOG.com had access to the source code for at least some of the games. I'm not a visual c++ wizard, but I thought to use a later vc++ run time, you had to recompile the game against it.