RPGM games work if you download and dump the NW.js folder on top of any RPGM game and run the "nw" file in the terminal. There's a shorter version, but I don't even bother, it just works. For older RPGM games made in vx or older you need to use WINE.
Renpy games work natively. Just run the game.sh file.
Unity and Unreal engine games work with WINE. If you want to run them without emulating Windows you will need to learn how to use WINE. It's a bit of a pain in the ass, but it's worth it.
Steam supports Linux stuff through Proton, so most games on Steam should run natively.
There's also Lutris, but I haven't used it much.
For everything else, it's a tossup. Most work, some don't. WINE is the answer for most questions. But very old stuff, like pre ~2004ish is going to be a challenge, if not impossible.
Overall, adult gaming on Linux has never been easier. Not a in few clicks like in Windows, but we're slowly getting there.