There are a number of good reasons to enable iCloud beyond gaming. To answer your question specifically, it depends on the game. Some games make use of iCloud and store saved games and game states there automatically (such as Infinity Blade II), some require you to enable iCloud before they will automatically use it (such as Tiny Wings), some require you to manually save the game to iCloud from within the game (such as Galaxy on Fire 2), while others keep all of their data locally and do not utilize iCloud at all.
It doesn't cost you anything to create an account and switch it on. There's nothing to lose by doing so.