as others have said, all games is going to be tough , some games will dislike a CPU thats too fast, although there are ways to deal with that.
imo you won't go wrong with a Katmai based PIII machine, most games up to , say Thief, Sin , or even System Shock 2 would run fine, it should be easy enough to slow down a 450Mhz PIII to play the speed sensitive DOS games of the early 90s.
Or if you don't care that much about later3D games, you could do with something like an AMD K6-2/3 CPU @ 450Mhz and a Super Socket7 motherboard.
the graphics and sound card would depend on your needs, if you care about running 3DFX glide games, I suggest a Voodoo3 card, fast for its time and good 2D quality, if not, you could go with a TNT2 from Nvidia.
for sound I would say go with either a Sound Blaster 16 (it has a more authentic FM sound) or if you want , find an AWE32/64 for better sound quality and native AWE32 music in supported games.
one last thing to note is that you probably shouldn't bother with Windows 95 with the CPUs I mentioned, they are more than capable of running Win98SE smoothly, and you will only benefit from the extra features 98 has (there is really nothing 95 does that 98 can't do), especially if you intend to run an AGP card, which most versions of Win95 don't support.