Cedega has been improving in the last months, their version 6 is quite an improvement in ease of setup, there are many games setups incorporated into cedega 6, so you just have to look in the drop down menu & hope that what you want to play is listed, if it is it will often save a LOT of time trying to get a game to work properly.
Properly is an interesting word in these circumstances. Some games are brilliant, Guild Wars for example, others are crippled in various ways.
Transgaming are a business, & suffer from the common marketroid problems. They make out that their software is far better than it really is, & support is virtually non existent. The cedega forums are not very helpful, move very slowly & can quite often have a sour attitude.
You will have a disappointing experience if you have any other graphic card than nVidia. ATi is a pain with Linux, & the other brands really don't perform very well by comparison.
Wine is perpetually improving, it takes a little longer to set up, has information to help on their site, & a much better attitude than Transgaming.
A problem with Wine can be to do with copy protection. Cedega pays for licenses to legally get around copy protection, with Wine you have to use other tricks, or in some circumstances there is no way around the protection system.
The Ubuntu forums is a pretty good place for help on certain popular games & configuration, particularly in Wine.
Transgaming are not very popular with many users, due to them being perceived as taking advantage of Wine when it was using the BSD license. Transgaming did nothing illegal, & for a fee of $15.50 US, which is the minimum 3 months that you must subscribe for, you are legally entitled to use any versions that you have downloaded, for ever. So if you can get whatever games you want to work on the latest version, Cedega is quite cheap. If you are a games junky, & remain subscribed, it turns out to be quite expensive.