Running on the same basic interface as your graphics card, NVMe SSDs deliver more raw bandwidth and performance than any SATA-based SSD could ever offer. They're also a lot smaller than any other hard drive or SSD too, which all means that the best NVMe SSDs are perfect for either that small form factor build you always wanted, or a monstrous high-end gaming PC build. Prices for NVMe drives have dropped considerably in recent years, and you can now get a speedy 1TB drive for less than $150.
The M.2 socket has been included on motherboards of all kinds for many years now, so the chances are that there's a spare slot sitting inside your existing gaming PC. Check out your motherboard's specs page online before pulling the trigger on an NVMe SSD purchase though just to be sure. If your board is more than a couple of years old it's also worth checking to make sure it supports booting from an NVMe drive... not all older mobos do.
The latest AMD boards offer even higher potential NVMe SSD performance as the X570 boards support the PCIe 4.0 interface, and compatible drives have far greater raw bandwidth available to them. Intel's not expected to have support on the desktop for at least another CPU generation.
The NVMe protocol was designed specifically for solid state technology, where SATA still has to support spinning platter hard drives, and that makes NVMe SSDs the perfect storage tech for gaming. We've picked our favorites, and each will come in a variety of capacities too. Though it's worth remembering that performance generally goes up with the larger versions of SSD.