My first impression is that Wine is a simulated Windows environment which uses free (and presumably open source) libraries as an alternative to Microsoft's proprietary libraries. Those libraries produce the same input and output, yet use alternative means to process the data. This would explain why there is very little performance hit.
Yes, that is exactly correct.
Most people assume it's an emulation layer but it's more of an interpreter, managing where Windows would normally provide resources and mapping that to Ubuntu. Of course there are situations where Ubuntu (and its drivers) don't or can't provide the same resources (like the various Direct3D pipelines) so in cases like those you can often see overhead from the translation process.
The biggest case of this is converting Direct3D into OpenGL. It's a process that is very sensitive to latency. This is undergoing huge work right at the moment (the "CSMT patches") to multi-thread the OpenGL translation and command streams. IMO it's getting close to native speed.
But if you're using a Windows OpenGL application, it's possible you'll see native-like performance.
The big outstanding issues in Wine come mostly from needing to reimplement libraries. For gamers this is mostly latest DirectX stuff (DX10 and 11 aren't implemented yet) but there are all sorts of applications that can exhibit strange corner-case bugs.