Old games you loved to replay...

You can install Windows on a Mac - it comes with a utility called Bootcamp to set that up. It does mean having to reboot into Windows, but it means you get Windows on the hardware as a first class OS.

VM Hypervisors (Such as Parallels or Virtualbox) means the host operating system simulates the behaviour of another machine in software (Though most modern CPUs support features to facilitate this on hardware with better performance), However Graphics (2D/3D) virtualization isn't quite there yet, so it might work for older games or games that don't tax the graphics card.

Using a translation layer, such as Wine means sacrificing some performance, but is likely to yield better performance than a VM (if you can get it to work), and the other benefit is that you don't need to reboot. Winebottler and Wineskin are popular tools for creating Mac App bundles from windows software, if you wish to experiment...