I play quite a few games on my Mac Pro in Windows, and basically this is what I do:
1. Boot Camp with Vista for DirectX 10 gaming, like Crysis. Also installed Half Life 2 (64 bit mode, for bragging rights

)
2. Boot Camp with XP for "older" games, and my racing games. I have experienced some issues with games like Richard Burns Rally and DTM 2 on Vista, so therefore installed XP... And because I don't want to reboot for games like GRID I have installed that on XP too (not DirectX 10 anyways).
3. Parallels vs. Fusion:
I have played around with Need for Speed 4 (High Stakes) on Parallels 3.0 (5608), and VMware Fusion 2.0 beta2 using both with DirectX 9 support activated.
Both have a Windows XP SP 3 installed, and the VM's tools installed.
2 GB RAM assigned to Windows, max Video memory.
After playing around ALOT to get the game working in both Virtual Machines, it is very clear that Parallels does it far better than the beta2 verison of Fusion 2.
I know Fusion 2 still is in beta, and therefore not a fair trial, but still....
I used NFS 4 because i adore the gameplay.... Gr8 fun racing against an opponent while being chased by the cops. Listening to the police radio sounds so cool in that game...

And I just NEEDED to play the game on my Mac Pro... and it works!!!
Setup:
- Mac Pro '08.
- 8 GB RAM.
- GeForce 8800 (not important for Parallels).
- Parallels 3.0 (5608), 2 GB RAM and max video mem for Windows XP Pro SP3.
- NFS 4 Full install, updated to 4.50 (+ all no-CD cracks), done "<1 MB" error-patch, done Patch10 for later video cards.
- Set Parallels to "adjust Mac resolution" for Windows full-screen mode.
- Game in max details, 1600 x 1200 res.
- Logitech MOMO USB racing wheel.
Everything works! Even FF on the wheel!! Occasional hick-up every other minute orso though.. but very playable!
However, sometimes the 3D engine won't work, and you have to force-quit NFS 4. Sometimes the MOMO has been "disabled" too...
So, not very easy to install correctly, and you have to live with an occasional restart of Parallels, and / or re-assign the MOMO USB wheel...
Bumpy road then, but IMHO a very much worth it!
Remember NFS 4 came out in 1999 / 2000, and Parallels has some difficulty running this game, but VMware's Fusion 2.0b2 is far worse. Getting around 15 fps in VMware running the game with the same settings as in Parallels. Parallels is smooth, but with an occasional hick-up every other minute.... seems sound related to me.. not too sure though...
EDIT:
Screenshot of NFS 4 setup
