Yeah, I agree that for gaming, Linux still has a way to go (or at least developers need to wake up to the growing number of *nix users who would buy their products if available)... so for gamers the choice is either a console or Windows.
However Linux is, in my experience, faster than Windows... not sure if this is just because of ext3 versus NTFS.
The only area where my Windows box is more efficient than Linux is booting-up. Currently, using Sabayon Linux (Gentoo-based distro) takes about 60 seconds to be fully up 'n' running, whereas XP takes less than half.
Conversely, shutting down is the other way round. Takes twice or three times as long under Windows than Sabayon. Shame that I always seem to be rebooting my XP box whereas I only have to boot Sabayon once and it hardly ever needs rebooting.