What games? You haven't provided the names of any games.
nothing
you have to buy PC games you cant download any
Runescape is the only one I can think of.
It is not that the mac cannot play certain games. It is that the games are not written to by played on a mac. The software developers choose not to write a version that is compatible with mac.
like grandchase, well that's maplestory.. i don't know if its playable on mac though..
The games will need to be written for Mac OS X to run on a standard Mac. If the games were written for the Windows operating system then Windows have to be installed on the Mac for them to work.
Most sites can. But for the games you need special mac games.
No. Like most Nintendo series, Zelda games are only for Nintendo consoles and handheld devices. They have never been released on mac/pc. If you're interested in emulating them on a mac, that's an entirely different question.
Yes there are a lot of gun games for the Mac. Get a Mac. 
Games written for Mac OS X will work on a Mac. Games written for the Windows operating system will require the Windows operating system to be installed on a Mac to work. Some Windows games can be used on a Mac without Windows by using CrossOver Games software.
You can get classic Mac games from Steam. They have many games for the Mac, Classic and New to download direct to your Mac. Some are Dragons Lair and Max Payne 3.