Windows is active spyware, it's well documented that services like their Telemetry function as active keyloggers. The main difference is that the vulnerabilities are likely only problematic if someone is actively looking for you.
As for Linux, it has many different types of OS called Distributions/Distros. You'd likely want to start off on a distro that's beginner friendly, like PopOS. Others work too, this is just my personal preferred flavor of 'just works' distribution. A lot of people will overcomplicate the process of selecting what type of Linux-based OS to choose with loads of technical terms, but you dont need most of that if that's not what you seek to make of it.
My serious answer for running games, as much as I'd like to answer it here, it would likely need a fair sized explanation if you're completely unfamiliar with Linux, just so you can know what to expect. It's more than I feel I can reasonably explain, so I'll recommend you lookup YouTube videos of how to run specific game emulators on Linux, since the video format will likely help a lot.