For the most part you would just build the same machine as if it was a Windows gaming machine. That said, there are a few things to know:

• AMD has historically had better video drivers on Linux than nVidia, though nVidia has made some changes that has improved things quite a bit
• You want a basic, well supported common distribution if you’re not extremely familiar with Linux. Don’t go with some weird niche distro because you heard it will get you 1% better frame rates. Things like Steam and Lutris are well supported on the common easy distros. I would suggest Mint as it is Debian based, and basically everything supports Debian derivatives.
• Not every game will work, but a whole lot will. The things that are most unlikely to are competitive online games with anticheat root kits. If those matter to you, then unfortunately you’re better oft in windows.
• Take a look at https://www.protondb.com/ for a list of what is well supported and any information if they need some trick to run.