Emulators exist for classic machines like the Atari 2600 and Commodore 64, so you can run the time-honored games and software you fondly remember.
On the more practical side, there is DOSEMU, an extremely good simulation of DOS that allows you to run almost any DOS program including games like Duke3d. (As of this writing, sound is not supported in DOSEMU, but it's being worked on and may be available soon.) Many people use this to run programs like Wordperfect or other productivity apps without having to dual-boot to DOS. You can even run Windows 95 under DOSEMU!
WINE is a project that is attempting to emulate the Win32s API under Linux. While still a work in progress, it is usable for many applications. WABI from Caldera is a commercial program that does much the same thing.