If the machines on the VPN are all running Windows and the purpose of the VPN is to facilitate Windows gaming, and you have a powerful computer running Windows that you use for gaming, then you might just want to use that as your VPN server. Regardless of what VPN solution you choose, there's no fundamental reason why the server must be separate from the machines using the VPN.
Whether you host the VPN with Windows, Ubuntu, or some other OS, it seems from your question that you're most interested in knowing about the advantages of various VPN's from the perspective of Windows usability and performance. Therefore, you might get better answers if you were to ask a reformulated version of your question somewhere Windows is supported, such as Super User.
Since you're using Windows, presumably you're willing to use proprietary software. (Many games have proprietary engines, too.) So you might consider using Hamachi (see also this article). It's proprietary but not payware unless you use some of the more advanced features. It provides VPN without the need for a VPN server. Hamachi supports Windows and Mac OS X and has a beta client for GNU/Linux (including Ubuntu). This may work well even if the VPN must be accessed robustly by Ubuntu (for example, if you run dedicated game servers on an Ubuntu machine). If the VPN need only be accessed casually by Ubuntu, then this will almost certainly work well.