My reasons:
1) Games
2) Sound card drivers
3) Mouse support
4) Apps
Games: Sure you can get win based games to work, but they are buggy and sloppy.
Sound card: You get generic ALSA or OSS drivers. You can't really unlock your sound card's true potential. With cards like the X-Fi not even supported, I have a hard time sticking around in Linux for the win games I do get working.
Mouse: No matter what I've tried, I'm stuck with some sort of residual mouse acceleration. This is a big no-no for me, I need a perfect linear ratio at all times. Also, in games, mouse4 mouse5 mouse6 mouse7 and beyond have ZERO functionality.
Apps: Apps like Ventrilo, Xfire, EAC, 7zip, online video streaming, even some flash based stuff just don't work nearly the same. Sure you get some sorts of functionality, but you end up doing the twist just to get this stuff to work properly.
Besides though, linux is a blast. Ubuntu is great, but I believe OpenSuSE to be the best of them by far at this point. It's always fun going back to linux distros to see how far they have really come, and how far I can push them to my "basic needs" (such as gaming)>