Depends. Steam and Proton handles most games and if not, I'll check Lutris. FWIW, some games like Doom and RollerCoaster Tycoon (the Sawyer, 2D era) have open-source remakes that work on modern machines.

For regular software, I will try it in WINE and if it provides a good enough experience for daily use, I'll keep it there. If it doesn't, for any reason, I'll stick it in a Windows VM. For instance, Exact Audio Copy will work fine in WINE provided you get .NET 3.5 installed for the MusicBrainz metadata plugin, but MusicBee has severe enough problems (font redirection problems, lag when scrolling, can't drag tabs) for me that I just use it in a virtual machine or another PC. (I actually have another rig I'm considering using as a "jukebox" machine, since I have macOS on it and use it for Apple Music, so I'm compartmentalising my music to one machine if that makes sense)