When you watch Netflix, your computer/tv/tablet needs to get the video from the Netflix server, on the Internet. This counts toward your data use. If you have a video file sitting on your computer and you merely stream it to your TV, this doesn't count toward data use because none of the data is going onto the internet.
If you are playing online games, those games communicate over the Internet, so it counts toward your data use. If, however, you're playing a game that connects directly to somebody on the same wifi network as you (for instance, you're playing against someone in your own house ONLY) then probably no data will go to the Internet and it won't count toward your data use.
Anything that sends or retrieves data from the internet will count toward your data usage.
You can think of it like your water meter, on your property. You are only charged for the water that enters your property through the water meter. If you fill up a bucket of water and transfer it into another bucket, that water doesn't go through your water meter and you don't get charged for transferring that water - only for when the water initially entered your property.