I'd normally point folks looking for small-form-factor gaming to Zotac's Zbox Magnus line. Those machines aren't the smallest options around, though, and Zotac hasn't updated them to Coffee Lake CPUs yet. If you're after something with serious CPU grunt and gaming performance, maybe step over here to glance at ASRock's latest DeskMini GTX and DeskMini RX systems. The new micro-barebones pack a Z370 motherboard and dedicated graphics in an STX-form-factor package occupying just 2.7 L.
Despite the DeskMinis' small size, ASRock packs in the remarkably full-featured Z370M-STX motherboard and an MXM graphics card, along with adequate cooling for the whole ensemble. The only GPU options currently appear to be a GeForce GTX 1060 6 GB or a GeForce GTX 1080 8 GB card, although ASRock mentions that it has a model with a GTX 1070 on the way as well. Given the presence of the "DeskMini RX" name on the product page, we'd expect a model forthcoming with Radeon graphics, too.
You've got to bring your own CPU, RAM, and storage to the DeskMinis, so what they have in those departments is up to you. It's worth noting that the specifications say that the supported CPU TDP tops out at 65W, so you probably won't be overclocking in these machines. You get two DDR4 SO-DIMM slots that support memory running at up to 3200 MT/s. For storage accomodations there's a trio of M.2 sockets, all with support for PCIe 3.0 x4 connections. Two of the M.2 sockets also support SATA drives, and there's a pair of regular old SATA ports on the board as well.
There's actually a fourth M.2 socket on the board, but it's E-keyed and meant for Wi-Fi cards. You could alternatively use the Intel-powered Gigabit Ethernet to hook up to a network, of course. Other ports on the back of the Z370-based DeskMinis include HDMI, DisplayPort, and Mini-Displayport jacks for video output, four USB 3.0 Type-A ports, and a four-pin DIN-style power connector. There's also an additional HDMI port on the motherboard for the Intel GPU. Up on the front, you get USB 3.0 Type-C and Type-A ports alongside the usual 3.5-mm headphone and mic connections.
ASRock didn't say when the new DeskMinis would be available for purchase, but our guess is they'll arrive sooner rather than later. If you don't need all the cores in a Coffee Lake CPU, Newegg has B250-based DeskMini GTX systems ever-so-slightly marked down right now: $796 for one with a GTX 1060, and $1492.47 for one with a GTX 1080.