VMware guys are great, installed a few virtual machines on Fusion, it just works !
After an effortless OS install, Windows runs with no extra steps. Check macinstruct if really some step by step tutorial is needed, but it won't be.
Forget 3D DirectX games though, despite claims that 3d games are playable, we are not yet there.
I can tell that various 2D optimisations are taking place, so virtualization is the way to go to quickly test cross platform development.