I had to install .Net Framework 2.0 before running the game for the first time from Steam.
If .Net is not present, the game attempts to install it by itself, and fails.
If .Net is installed, then the game tries to install the XNA framework, even though I already had it installed in that bottle. In any case, this (technically second) installation succeeded, and then the game ran.
I would say the experience was near perfect, both graphically and aurally.
(Xubuntu 9.10, amd64, linux 2.6.31, GeForce 9500GT)