The machine in my sig is built for the almost same purpose you have (playing games that I don't have gog versions, and a bit problematic in my XP box) plus some DOS and Windows OS fun.
People adores BX boards (like Asus P2B-F or P3B-F, but using a slot to S370 adapter adds to complexity needlessly, IMHO. Same for modded Tualatins and BIOSes that you will need to run a Tualatin on a board that does not support tuallies natively. These boards, although being rock solid and reliable, are somehow behind the days with other features they have (only ATA 33 support, no AGP 4x, etc.)
So I also suggest you to look for VIA chipset S370 boards (I personally choose Gigabyte) If you want to go with coppermine, you might choose something like GA-6VEX7+. If you want a Tualatin, you can look for a GA-6VTXE. I used both, and have nothing to nitpick about them. These model numbers are for reference only, Gigabyte has more than just a couple of similar models in both categories.
For CPU, since I'm a "maxing out fan" I suggest either a Coppemine 1000, or a Tualatin 1400.
For a display card, you can look for higher end GeForce2 cards (like Ti or Ultra) as well as Geforce4's (real, non-MX ones like Ti 4400, 4600, 4800) for even more overkill. You can always support them with a single or double Voodoo2 cards.
For memory, 256MB PC133 RAM will be a more than ok choice, but if you want to go for 512 MB, why not? I just don't suggest anything more than that, since Windows 98/95 might start some hick-ups with more than 512 MB RAM.
For sound, I strongly suggest SB AWE64 as an easy to use, all around sound card with minimum hassle for an acceptably high gain.
If you will need a joystick, I suggest MS Sidewinder Precision Pro, but this is not because I'm an expert on the subject, but just that I happily using one for longer than a decade.
Other than that, it's just generic components: IDE or SATA drives, CD/DVD Drives, floppies, NICs, IDE/CF adapter brackets, USB card readers, etc. My preference for HDDs are good condition real IDE drives (beware, 128GB max for W98 and W95 OSR2). You can of course also use SATA drives with IDE adapters and even SCSI drives.
GA-6VTXE PIII 1.4+512MB
Geforce4 Ti 4200 64MB
Diamond Monster 3D 12MB SLI
SB AWE64 PNP+32MB
120GB IDE Samsung/80GB IDE Seagate/146GB SCSI Compaq/73GB SCSI IBM
Adaptec AHA29160
3com 3C905B-TX
Gotek+CF Reader
MSDOS 6.22+Win 3.11/95 OSR2.1/98SE/ME/2000