GDI and GDI+ are classed as 'legacy' at best, I would not spend much if any time learning them. "Could you create a full AAA FPS shooter for example" I doubt it. Take a look at the following link you may get an idea of what it can do.
See: http://msdn.microsoft.com/en-us/library/windows/desktop/hh309470(v=vs.85).aspx
Take a look at Direct2D
See: http://msdn.microsoft.com/en-us/library/windows/desktop/dd370990(v=vs.85).aspx