On Windows, you sometimes cannot even install the OS without hunting down the right drivers for some piece of hardware like the RAID controller, if you can even find them. Most drivers are authored by the hardware vendors whose main competency may not be writing kernel code, so driver quality tends to be extremely variable. The result is often drivers that just don't work well (which can look like a hardware issue, e.g. lack of performance) or crash the whole system.
Not all Linux drivers are bug-free or feature-complete of course, but they tend to be reasonable or high quality due to the fact that they are written by and/or reviewed by the kernel community. Since all the drivers come with the kernel, the user generally has to do nothing to make their hardware work, it just does right out of the box.
(Notable exceptions here are vendors of certain video cards and wifi chips who refuse to either write Linux drivers or supply the information needed to write them. So you do have to be somewhat careful to avoid those vendors when purchasing hardware.)
I'm not a heavy gamer but my understanding is that a surprising number of popular games run just fine on Linux, thanks in part to the WINE community and the efforts of Valve.