Plants Vs. Zombies 2 heats my Nexus 5

Many advanced games (or other apps) will do this. It means that they are using much of the processor for extended times. As long as it doesn't get so hot that you could burn your hands or fry eggs on the device, there's no reason to worry. You should be aware of the fact that the generated heat corresponds to significant battery drain, though.

But other advanced games (for example GTA SA, Wild Blood, Real Racing 3) don't heat my phone so much. 

Try The Simpsons: Tapped Out... ;-)

It really depends on the app and how it uses the processor(s).