If you're on linux, your answer would be "most of the time", while if you're on windows, the response would probably be "What? There are programs that just work?".
I recently got myself a couple of newish games, which sadly require windows to run. Not too surprised, because that's normal for most games. Because it's been a long time since I actually played something with 3D graphics (except scorched), I decided to install windows on the other hard drive and see things happen.
INSTALL 1 :
I knew that Vista had some tdr issues with nvidia 8 series cards, and it probably wouldn't let me game for more than 3 minutes or so. I was wrong. It didn't let me game past 1 minute, with blank screens every 10 seconds, capped off by a magnificent Blue screen to finish. Scrapped.
INSTALL 2 :
I resigned myself to the fact that I'd have to use XP, which is something I really didn't want to do, because I wanted Vista's security. Using XP meant I wouldn't be able to use the Internet, which wasn't so bad, because I wasn't really planning network gaming anyway. I popped in the XP CD, only to find that I couldn't install without removing Vista, as it was considered a downgrade. Switched back to linux, and used gparted to wipe my second hard drive. Then went back. The rest of the installation went smoothly, but it took ages. Finally, I had an XP system which hopefully hadn't screwed with GRUB enough to let me use Linux as well. It hadn't, so far so good. I install my graphics drivers, sound drivers, bluetooth drivers for my keyboard/mouse, you know the deal. Install the game. Play the game. Crash the game in 15 min, with blackouts every 5. Better, but not quite.
INSTALL 3 :
At this point I realized that there was a page on nvidia's website that had a list of hotfixes and other goodies which ought to be installed if you want to do something on Vista. I also realized that I hadn't realized that before. Go back to linux. Use gparted to get rid of XP. Put Vista DVD in and install. GRUB is still alive. Good. Connect to the internet (I can, in Vista). Go to nvidia, and download all the drivers. Go to microsoft.com and get all the hotfixes. Pass WGA, which for some reason takes ages on my connection. Install everything, one by one. Go back to Windows Update, and get what I've missed. Restart. Blue Screen. Poweroff.
INSTALL 4 :
I see now that my XP was not serviced by any of the packs, so I download SP2 in Linux, and have it ready. Wipe the hard drive with gparted again, and reinstall XP. Install SP2. Install Drivers. All of them. Install the game and play. I now get a worst case playtime of < 1min, best case time of 17mins and an average case play time of about 3-4mins. And this is not to mention that the first minute or so is spent on getting into the main menu, and loading a save game (which, half the time I am unable to save because the game crashed previously).
Rebooted into linux, and decided to stay there some time longer. Keyboard didn't work because My bluetooth was screwed up in one of those installs. Fixed it by reinstalling the drivers 3 or 4 times, and doing some crazy acrobatics with the dongle and the power switches.
Told fedora to yum install wesnoth. It just works.