You can also use MKXP to run them natively on linux
https://github.com/Ancurio/mkxp
Though, the easiest way to do it is to use mono or wine. Always Sometimes Monsters ( http://store.steampowered.com/app/321100/ ) uses mono to run on linux. Even amaranth games could do this and release aveyond on linux, but I doubt they'd be willing to spend the effort.