I think again it's like anything on your computer ..you should monitor which games your kids are playing and the age appropriateness.You should also give your children the Stranger/Danger rules and go over it with them several times if it's a multi player or chat game.Make sure they don't give out clues to Identifying information such as "I live in fiction town..I play baseball ..our schools colors are red and green"Here's a link to learn more.
http://www.safekids.com/child-safety-on-the-information-highway/