I've never had an issue with speed on linux. Games on linux, however, is a different story and I suspect that is the source of your frustration.
The reason for your slowness or inability to play some games is not the fault of linux, it's the developers.
There are two major rendering libraries: OpenGL ans DirectX. One is open source, the other is Microsoft only.
Back 10 years ago, before windows XP became dominant, games would often be coded in both because developers didn't know what would win out. Over time, they moved almost exclusively to DirectX for one reason or another. As such, any game that uses DirectX won't work on linux. WINE helps fix this by creating a software compatibility layer to translate the instructions to something linux can read as well as using custom DirectX dll files. However, this isn't always successful or functional and can often require a lot of tweaking to get working.
There is something called PlayOnLinux
www.playonlinux.com/en/it helps install and run windows games by automating a lot of the tweaking for you.