As the others have said, in general you want Boot Camp (i.e. native Windows) for best performance. Most modern games are taxing and will run best this way.
However, one thing maflynn didn't point out was that Boot Camp and Virtualization are not mutually exclusive. All three major VM solutions will allow you to boot your pre-installed Boot Camp installation as Virtual Machine.
There are generally some compromises that come with this, but you get the best of both worlds. Native speeds when you need them, Virtualization when you don't.
B