It might be possible to install all the things you want into a Puppy Linux distro, and then remaster it into a liveCD. However, it might take a bit of work to get the sound and headphones to work, and it does not use the same package system as anything else
so, I suppose you possibly make a liveCD of, say, DSL or some such distribution if you plan to use debian packages.
Game-wise, smokin guns has a linux version, nexuis is rather popular, Cave Story has a linux port floating around (only in package format) which works rather well. All of kenta cho's games are in linux now. Battle for Wesnoth is an amazing strategy game. And, of course, you may be able to include windows programs if you can get them working in Wine.