I've read it a lot, but I've never quite understood why you shouldn't install games in Program Files or why you shouldn't run games as an admin. I don't run Morrowind or Oblivion as an admin, but I do run certain third party programs (Mash, MGE, Bash) as an admin, and my games are installed in Program Files x86. Will I experience any issues?
On Vista/Windows 7, there are sometimes problems with editing files in Program Files (most notably ini files and similar configuration files) with UAC on, also games sometimes get a performance boost (however slight) by being installed just on the drive root (at least some people swear this is true). Mainly, though, it is the UAC problem on Vista/Win7 which causes people to say it, and it is a concern that can be quite headache-inducing at times when manually editing files. On XP/UAC disabled, not really an issue.
As to why you shouldn't run games as admin: Never heard that before. What is true is you shouldn't run unknown executables as admin. It is "nicer" to not run stuff as admin if you don't have to, but so long as it is a trusted application, it isn't really an issue.