Online multiplayer will not work, and Valve’s own games (running the Source engine) won’t work either, though they’re releasing their games with surprising regularity these days. It won’t work, for example, with games that use the Unreal 3 engine (so Mass Effect, Mirror’s Edge, UT3 are all out).
In fact, you’re rather lucky if it works at all. However, this will not work with every game. To this end, I’ve made a short how-to so that you can play some of Steam’s PC-only games on Mac OS X. It’s a start, but it’s not yet the revolution every Mac gamer would like it to be. So, Steam (a well-known game-to-computer content delivery system) recently released for Mac OS X, and as of today, only one hundred of the games available on Steam are cross-platform.