I am a big fan of GOG. While in the last couple of years they extended their catalogue with brand new games, they still add older games. I am generally not a nostalgic person, but I occasionally like to remember the "good old days" in gaming. It also helps that many old games are perfectly playable on Linux via Wine or Dosbox. Both are great open source project. They help preserve some of the software, we would have lost forever. In this aspect Wine is one of the most important open source project without most people realizing it.
I am a Linux user who doesn't deprive himself for playing something just because it is not a native game, or it is because it's old and supported only through Wine. I haven't used Windows since 2006, so Wine is my friend for Windows games.
We are lucky that we have a very active community. This year when Wine staging (a fork of Wine which has some extra stuff) lost its main contributor, people jumped in and saved this project.
This community also helps if you want to run really old games. One of the best example is Adamhm on the GOG forums. He has a giant library of Wine scripts for some of the best Windows only games on GOG. I have used it so far for 2 games: MDK and most recently SWAT 4. It downloads everything you need for the games to run, and really simple to install them. The scripts use their own Wine prefix, in this way it is completely separated from your original Wine install.
Every game on the list has its own thread on the forum, and a little how to. Usually you have to download a tar.gz file, extract into a directory you want for the game and put the game's installer into that directory too. Run the script from terminal and follow the instructions. Fairly easy.
This is why I prefer GOG to Steam too even with Wine. With Steam, you have to install a client, and sometimes you can't see what's in your library because the in-client browser doesn't work all the time (Steam with Wine can break fairly often). GOG has a simple installer and it doesn't require any additional tweaks.
I highly recommend the collection above and I hope you find something in the upcoming GOG Summer sale.