Well in my personal experience, its not easy, although I haven't really tried since Ubuntu 8.04. I haven't ever really had the need, always dual booted and the Linux equivalents to the apps I use everyday worked fine for me. However I have tried to get various things working.
I managed to get the following working with not too much work:
Borland Delphi 7
I didn't try too many things to be honest - way too much effort for what I needed to do.
I have had quite a lot of success with running XP in a virtual machine and then running the software from within there.
Re: Your questions:
No it doesn't work flawlessly. (At least when I tried +- 12 months ago). Things might have moved on since then. All games do not work, - however there are a few of the popular ones that can run natively (using OpenGL) - most notably WoW.
Some apps are starting to get their own built in emulators - e.g Google's Picasa and Opera. (e.g you just need to run the app - no need for WINE etc).
Screenie of me running XP and Fedora Core 7 simultaneously(Fedora is now available in its 11th release).
![Morgue[FLB]](/thumb.php?src=%7Be_AVATAR%7Dupload%2Fap_59_morgueflb.png&aw=100&ah=100)