Steam runs fan. Specs on the machine are a little low for more complex AAA games but can run older stuff and indie stuff no sweat. Oughta be able to handle Source Engine just fine. Opt for 8 GB RAM if you see yourself doing a lot of games...and maybe larger SSD.
It can run Parallels but depending on what you are going to do, it might be better to Bootcamp. The ULV CPU in the MBA is not incapable but there is a limit to what it can do.