Steam does support OSX now, but you'll get better performance in Bootcamped Win7. I'll get to that later, though. The App Store and Steam are you two best bets for gaming natively on the Mac. The App Store is developed by Apple, so it's a little better integrated than Steam. It tends to offer mostly casual games and have terrible prices, though. Steam, on the other hand, isn't quite as well-integrated, but has amazing sales and plenty of titles. As for Blizzard, all of their games will run natively in both Windows and OSX. So, there's always that.

For Bootcamp, the hardest part is just knowing how get a new Windows installation up to speed with drivers, etc. You simply use the Bootcamp utility, select the partition size, then install a copy of Windows. Partition size is up to you. For my 1TB drive, I think I gave Windows 200GB. I believe the necessary drivers for Windows are actually on the DVD that came from Apple. The better option is to get it from the hardware manufacturer, though, whether it's Nvidia, AMD, etc. I just restart and boot into Windows for gaming, but another option is VMWare or Parallels 6. Those allow you to run Windows as a virtual machine and switch between the two. I can't speak for VMWare, but I hear Parallels 6 runs fast enough for people to game with it.

From what I can see, there are a few reasons why Macs are less convenient for gaming:

1) Most games use DirectX, which is a Microsoft thing.

2) When in OSX, you have to use Apple's device drivers, rather than just getting the updates from the manufacturer (like on a PC)

3) Macs generally come with mid-grade GPUs (though this can be said for most other companies like Dell, HP, etc)

4) Because of #3 and the price of a Mac, they're never a cost-efficient way to game

5) Some "Mac" versions are really just using wrappers like WINE, which results in performing worse than natively-programmed game would

OSX also seems to have a higher graphics overhead than Windows. Because of that and the fact that many Mac ports are poorly or sloppily done, games will often perform more poorly than they should. They'll be faster in Windows in nearly every instance, though the disparity ranges from barely noticeable to great.

I'm not an expert, but I do game on both the PC and a Mac. So, if you have more questions, feel free to ask.