The virtual machine Windows installation is actually just one big file so yes, you can back it up (a good idea), keep it on an external drive, move it to another system, etc. Something I liked about this was I didn't need to worry about it once backed up. If something happened to the Windows install, I could just delete the virtual machine file, copy over my backup file and good to go again although naturally any changes since that backup VM file was created would be lost in that scenario. I never saw that as a big deal myself.
I noticed the mention of Wine and I have found it to work well for some titles also although a virtual machine instal of Windows offers a greater level of compatibility with many more titles working well. Just the same though, Wine can be good too for games reported to work well with it and it can perform better for some newer titles that run alright on it since it does't incur the kind of overhead running in a virtual machine does.
If you want to try out Wine on the Mac I highly recommend a Google search for a really great setup tool called Wineskin that makes working with Wine a pretty nice experience on the Mac vs the command line which was how I used it once upon a long time ago now in linux myself. For all I know by now maybe Linux has some nice front end for Wine too. In any event, be sure to check that out. Also, Google for Paulthetall who's done a great job of providing a lot of what Mac people call wrappers for Wine game setups that are easy to take advantage of along with the porting team stuff I think was mentioned above.
So there's lots of options to run older games on a Mac from the Windows world and some newer ones work pretty well too but less often. Last but not least there's plenty of Mac games you may already have noted on Steam and GOG.com as well as MacGameStore.
