Short answer: Yes. If you're an avid gamer who has an appreciation for picture quality, responsiveness and lack of bugginess, I would recommend you use bootcamp.
I tried gaming in OSX, but found that the selection of games was poor, the ports were often buggy and, even for those games that are natively scripted for OSX (e.g. Blizzard) the opengl rendering made those games look awful oncreen.
If you're a casual gamer, it shouldn't make a difference, but I'm guessing that's not the case if you're here asking us our opinion, right? 😀
I'm with you that it's annoying to have to switch OSes, but that's the price to pay for quality gaming on a mac. To be honest, I find that I no longer spend any time in OSX anymore, as a result. Also, it should be noted that Windows has made big strides in useability and stability. I would say it's mostly on par with OSX, but I'm not a "power-user"