I'm annoyed by how few games are packaged in Debian. The StepMania, Aleph One, and Vega Strike packages have all been abandoned. Every so often there's a Request For Package and maybe someone shows interest, but it never goes anywhere. Compiling a lot of these games can be a pain.

Still, a lot of independent games are released for Linux now, and they're generally distributed as archives you can just extract and run.