I own both the Steam version of Unreal 1, 2, UT, UT2004, UT3 and the retail CD copies of all but UT3 and U2. They all work relatively well (well U2 has a mouse quirk).
There are 2 ways to get them working if they arent right off jump street after install (which they should for the bulk of them).
1) For Unreal Gold and UT, you can use the linux UT binaries to get them to work (yes U:G works fine this way, minor graphic glitch if my memory serves right)
2) Kill off your config files and reload. Set them up to use D3D for the 3D engine (not OpenGL). If you need to hack the file by hand you can right now.
/UnrealInstallFolder/System/Unreal.ini
[main spot to check]
[Engine.Engine]
GameRenderDevice=D3DDrv.D3DRenderDevice
AudioDevice=Galaxy.GalaxyAudioSubsystem
NetworkDevice=IpDrv.TcpNetDriver
DemoRecordingDevice=Engine.DemoRecDriver
Console=UPak.UPakConsole
Language=int
GameEngine=Engine.GameEngine
EditorEngine=Editor.EditorEngine
WindowedRenderDevice=SoftDrv.SoftwareRenderDevice
RenderDevice=SoftDrv.SoftwareRenderDevice
DefaultGame=UnrealShare.SinglePlayer
DefaultServerGame=UnrealShare.DeathMatchGame
ViewportManager=WinDrv.WindowsClient
Render=Render.Render
Input=Engine.Input
Canvas=Engine.Canvas
[/Main Spot to Check]
If you need me to post the entirety of mine, I can. The file is kinda big, and will clutter the forum page up a wee bit, but if you look it over it should make sense. My bottle is for the steam versions, and is an XP one with no real tweaks that I can recall. I made a few, which was a bad idea, to get U2 working, and reverted back. All that U2 needs is a rename of the Music folder. In case you care :D