Whenever you play a computer game on a computer, it puts your hardware to the limits, especially with games like FarCry, Doom3, Half-Life 2, UT2004, etc. This results in way more heat than if you were doing "average joe" things like checking email, stocks, web surfing and playing solitare. You should treat gaming as a whole different animal.
Lets say you decide to jog a mile or two (or three). Right after that, your going to be hot and sweaty and tired. Your laptop is (almost) the same way. Its hot and it wants to cool off. Now, would you put on a thick, warm jacket after jogging those miles? I dont think so. Treat your laptop the same. Dont close your laptop after gaming. Let your laptop cool down, just as you would after a tiring jog, then shut the screen. Unless your laptop has noticable amounts of heat radiating from the keyboard, it should be ok to shut the monitor while leaving it on, as long as it is already cool. Its also bad to stuff your laptop in a bag or case right after gaming (Its like wrapping yourslef in a blanket after jogging).
If your that worried, get a notebook cooler and cool the laptop.