Purchase this game in the box from Amazon via this link (about $17 when I bought it), then run a quick script on your GNU/Linux machine to setup the game (3d graphics required), and away you go.
Below is the desktop of my Dell Ubuntu machine. As you can see, I've inserted the first Prey cdrom(icon shown on Desktop), and I've downloaded the Retail version GNU/Linux Prey installer from Ryan Gordon's website here. The screenshots below show that Ryan's installation script is very easy to use, so you can be playing Prey on GNU/Linux in no time.
After Prey is installed, there will be a shortcut in the Applications > Games section (In Gnome) to start the game. Note: You will need to enter the Game Activation key from the Retail version box to run the game.
Voila, up and running. Here's a screenshot and video of game play.
Thank you Ryan Gordon for making this possible!!!