How games are displayed largely depends on the type of game. For first person games Full VR mode is typically the best choice, for third person or other games (e.g. strategy games) it usually makes more sense to play them in either cinema or immersive screen mode.
G3D/Z3D are two different methods to create stereoscpic 3D. With G3D everything is rendered twice like in native VR apps. Z3D on the other hand only renders the image once and applies stereo 3D afterwards. That looks less natural but is a lot faster, so you can play games with higher graphics details settings.