Look, I know that with a 900MHz celeron processor, integrated graphics, and just 512MB of RAM, the Eee PC isn't going to be a speed demon. But that doesn't mean you can't still have some fun with it. Cas at ScaleGamer has posted a series of YouTube videos showing the Eee PC running everything from Far Cry to Mario 64 using a Nintendo 64 emulator.
Of course, good luck playing these games on a stock unit. You're going to want to install Windows XP, or at least install WINE and hope that it will work with the games you want to run under Linux. And I'd certainly recommend upgrading your RAM.
Dan at UltraMobileGeek even posted a video showing World of Warcraft running on an Eee PC. (Thanks TheCuso!)