You could put all the games into a disk image and then password-protect that.
This is by far the most secure solution. It is trivial to bypass the protection offered by the apps which Q mentioned; bypassing an encrypted disk image is much more difficult.
As far as using the disk image is concerned, it's almost the same once the image is made; you double-click the image, give the password, and it shows up in the Finder as a disk. You then load things as normal, and when you're done, you drag the mounted icon (NOT the disk image) to the Trash, as though you were ejecting a regular disk.