You are just as vulnerable playing an online game as you are browsing the internet.
The bottom line is, you are using applications that may or may not have vulnerabilities in them, which may or may not be caught by antivirus, firewalls and other sorts of preventative measures.
The only difference is that you stand a greater risk of being targeted while playing/chatting online than when you are simply browsing the web; but the bottom line is, if you (not you, but a communal, global style "you") are paranoid about something happening to your computer while online, simply remove the computer from the internet - that's the most secure way of keeping your computer hack free.