Yes you have to buy a windows operating system to run it in Bootcamp and you should be able to run Games for Windows in windows via bootcamp although i thought it was just games for windows live that required the actual games for windows application but i could be wrong. It is a background application so it will technically make your computer slower but its not noticable in my experience

GTAIV is a good game but it's not all it's cracked up to be. I think they added in a couple good things such as the cover system but removed a lot of the fun like the more arcade-like driving controls, it feel's like i'm playing forza everytime i get into a car in this game.

CoD4 lately, of all time i'd probably say Halo 3.