What sorts of games are you play and at what settings? I wouldn't expect the Ally to run things at super high graphics settings for most current games. Did the XG Mobile help?
Make sure all your software is up to date (windows games). Check the My Asus app for driver and firmware updates.
Otherwise, it could have been that there was an issue with the unit from the start. If you have reinstalled the OS, and the issue is still happening, I would contact Asus with regard to warranty.