I think the only game that crashes on exit for me is F.E.A.R. (or one of them in that series) and that's a known issue. Unless it's a new problem to the latest version of wine or the specific version of the game you're running, I'd guess it's something with the wine configuration, which covers quite a bit (and isn't very helpful :/).. It's been about 9 months since I've played anything in steam, but I don't ever remember seeing any crashes on exit. Perhaps there's some WINEDEBUG you can enable to see what's going on or maybe you could try with a new ~/.wine? I make a different wine directory for each game/series by setting the WINEPREFIX environment variable. Then if something bad happens in one it won't affect the others.
