The Headless Game

Ah yes, "The Headless Game" is something my girlfriend (now obviously ex-) used to play with me whenever we were in a small quarrel/argument. It means no oral sex for an undetermined amount of time and it really is not fun at all...so, Edguy (and my ex-) wrongly refer to it as a "game." However, you can see halfway through the song, the protagonist gets angry with the situation, as any normal Joe would, when he sings: "I am danger, I'm a stranger, cause I don't give in to your call..." but then, he confirms that she won't make way the head until she is happy; and then, finally, he can blow his long-awaited, knee-weakening, load: "and not until she is satisfied, we can come and explode and we fall!!"

That's pretty much it. It's all in there word for word. Nothing to do with religion at all.

Its about religion, and how Edguy feels persecuted by it.

because:

(...In their eyes we are insane! But aren't daydreamers only the escapists of a soulless view of life?...)

Fly! Riding away... Rising today... No we don't play your headless game! We are alive, don't say goodbye. Fly! Riding away... Rising today... No we don't play your headless game! We are alive, don't say goodbye.

The "Headless Game" is religion, probably a reference to how its beliefs are false and that it results in death quite often (hence "headless")

Cast out from Eden... You don't like what we are in your eyes. We're leading the treason on the race you run, the way of your life.

The 2nd line in this part is about how many (but not all of course) religious people think people who disagree with them are immoral agents of Satan.