To answer your original question, which was "can I run Windows applications in Mac OS X," the answer is no. Windows software and Mac OS X software are not interchangeable. The good news is that except for a very few highly specialized applications, and some games, you will be able to get all the software you used in Windows for Mac OS X.
Now, as some posters have pointed out is is possible to install Windows XP on an Intel-based Macintosh, which would allow you to run your Windows applications on a Mac, but in Windows; not in Mac OS X. Many people who are doing this are finding this is an excellent solution for games, which you mention. I think you will find that much of the same software you use now is available for Mac OS X, or if it is not then a viable alternative will be available. You should check out
Version Tracker to find what Mac OS X software would want to replace your Windows versions with.
[Edit: fixed a typo]