It all depends on the game. You should have read the autorization page when downloading the game from the market and see if it asking for a network connection. If it is then it is going to "eat" some of your data (whatever you have limited or unlimited data plans). Games that are asking permission for data usage are more often use that to download commercial on your phone. Should you don't like that to happen, you may want to opt for purchasing a paid version of the game (without the commercial and therefore without usage of the data).