Definitely download steam as they have the widest support for mac gaming on the market. There's not too many F2P games around, much less for mac, but there is like Spiral Knights (meh) and Star Conflict on steam which is okay and then there's the moba games Dota 2 and League of Legends.
As for regular paid games, here's the list of the ones I play:
XCOM Enemy Unknown and Enemy Within
Endless Space
The Witcher 1 + 2
Guild Wars 2
Starcraft 2
Stronghold Crusader
Diablo 3
Total Annihilation
Combat Mission
Minecraft
Fallout 1 + 2
Deus Ex: HR
X3: Terran Conflict and Albion Prelude
Eve Online
Knights of the Old Republic
Heroes V
Portal 2
Civ 5
Amnesia: The Dark Descent
These are all the games I play with officially made mac ports or work natively that all run very well. There's also The Porting Team that has community made ports for many games. I play Daggerfall and Skyrim (With plenty of mods, just nothing to do with graphics and the cider port can't boot SKSE, but the wineskin one that I haven't tried might.) The community ports are much more likely to have performance drops and bugs because, well, community made, don't expect flawless for something you don't even pay for. It's just like mods.
There's also GameAgent that keeps track of all Mac games across Amazon, the Mac App Store and their own store. Plenty of games available through there including Metro Last Light and plenty of others.
Also don't forget about GoG for the classics. They've ported many of the games on there flawlessly, that's where I got the Witcher, Fallout, and Stronghold from.
You have no excuse. Game, dammit. Game.