In this work, we study Static and Dynamic Games on Large Networks of interacting agents, assuming that the players have some statistical description of the interaction graph, as well as some local information. Inspired by Statistical Physics, we consider statistical ensembles of games and define a Probabilistic Approximate equilibrium notion for such ensembles. A Necessary Information Complexity notion is introduced to quantify the minimum amount of information needed for the existence of a Probabilistic Approximate equilibrium. We then focus on some special classes of games for which it is possible to derive upper and/or lower bounds for the complexity. At first, static and dynamic games on random graphs are studied and their complexity is determined as a function of the graph connectivity. In the low complexity case, we compute Probabilistic Approximate equilibrium strategies. We then consider static games on lattices and derive upper and lower bounds for the complexity, using contraction mapping ideas. A LQ game on a large ring is also studied numerically. Using a reduction technique, approximate equilibrium strategies are computed and it turns out that the complexity is relatively low.