I don't own Parallels 3.0, but from what I have read it does not support DirectX 9+, which means you are limited to games that are a few years old or earlier. I feel confident they will update the app later to support later games, but at the moment it is a little limiting.Frankly I'm amazed they have been able to achieve any support for the GPU. VMware have been claiming it was impossible!
WHy don't you download a few demo games and try them out?
You may find this article useful:
a gamer's look at parallels 3 (look at heading "my test drive" especially)