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Most games should work - I've not had any serious problems so far, but I have had to manually set compatibility modes sometimes.
The main problems used to be maturity of video card drivers, and the extra resources (typically cpu & memory) that vista requires. Video card drivers are better now (for ati & nvidia anyway), though additional resources depends on your computer. Extra ram and 64bit vista is generally an improvement over xp for more recent games (64bit vista handles larger memory better, e.g 4GB or more) but it's not that useful for older games.
Not many people are using dx10 - most developers simply said there's no need for it, and by supporting dx9 only they avoid having multiple code bases.
Of course, I generally prefer the environment of linux anyway, so I'm hoping that there's going to be a shift towards supporting games under linux more (for which reason it would be nice if the ut3 client actually got released).