The biggest problem is how steam wraps the executable to its own client as a form of copy protection, you can download the game from a XP machine and simply grab either the original executable if you are lucky enough to own the game or a not soo legit exe, then copy it over to the 9x which kindof defeats the purpose of owning a legitimate game.
If you are extremely lucky the game has some modern ports that work on win9x, Doom, Quake, Quake2, duke 3d come to mind.
Other thing I noticed is some games have the cd audio completely missing and a simple batch of mp3s in its place, sure you can possibly convert them to wav and burn them as a audio cd but that defeats the entire purpose.
GOG aswell has patched some games to the point where it breaks 9x compatibility for the windows version of the game, Dungeon Keeper 1 gave me some problems to get working.
What would possibly be best is if GOG offered untouched ISO downloads for games you allready own... and you can just patch them yourself, but I doubt that will ever happen.