For me it reached a point where I now expect a new game I'm trying to just work. This was a monumental shift when I first realized that a few months ago.

Your best bet is Steam/Proton, since Valve stands behind it and development on all the Proton components (Wine, DXVK, VKD3D, Gamescope, ...) is very active.

If you get games outside of Steam (I often prefer GoG if that's an option, plus I have some itch.io bundles purchased a while ago), some tinkering may be necessary. For those, I like to go "vanilla" with Wine(-GE-custom usually), plus DXVK or VKD3D on top. There's also Lutris to help with these scenarios. Works great too.

Another topic is native Linux games. There are some gems which work beautifully. I recently finished native Celeste from itch.io and it was flawless. Another great Linux port is Bastion. But some older titles may have compatibility issues - missing or incompatible libraries, broken gamepad support or stuff like that. For those, the Windows version via Proton may actually work better than the native version. Luckily, we can now pick either one.