It seems that iPod Games are the only thing you can buy from the iTunes Store that don't automatically get saved into your iTunes Music folder (default: ~/Music/iTunes/iTunes Music). Instead, the games get saved in ~/Music/iTunes/iPod Games, and there's no way for you to change that location.
While this doesn't seem like a huge difference, if you're like me and keep your iTunes Music folder somewhere other than ~/Music/iTunes (the location of the iTunes database files), then you risk losing your iPod Games despite diligently backing up your iTunes Music folder. 2br So, before that horrible massive data loss takes your iPod Games while not touching a single song or video, remember to manually copy your games into a folder you regularly back-up.
[robg adds: Ideally, of course, you'd be backing up your entire user's folder somewhere safe, but if you're not, this is a good catch -- I hadn't noticed that the games weren't saved in the same folder as your music, movies, and videos.]
Mac OS X Hints