Gaming is where Windows excels:
* First of all, it's got DirectX, which most games are programmed to use.
* Second of all, you can install Windows on any hardware you want.
That means you can go buy a fast graphics card and CPU, often for not all that much money (especially since the release of Phenom II and RV770), and Windows plus your games will run on it.
You can get fast hardware on a Mac. However, the selection isn't nearly as wide, the highest-end hardware takes a while to become available on Mac's (though that usually isn't such a problem, as most people aren't getting *the* fastest hardware), and it's usually more expensive than you can get elsewhere (i.e. on a PC).
While Mac OS X is pretty good in general, it isn't the logical choice for gamers.