I have a WinME system on a P3-933, GF3 Ti200/Voodoo2 SLI, and SB Audigy that can play pretty much every Win9x game. Anything DOS is out of the picture (I have a dedicated DOS PC). You need to be careful with driver versions to keep compatibility good across game generations. Also, if you care about period correctness, my system will give you fits--cpu from 2000, graphics cards from 1998 and 2001, sound card from 2002.
If you limit to 9x games from '95-'97ish, that work best with hardware that isn't XP-friendly (such as A3D and Voodoo graphics), then your 9x system can be on a much slower platform without sacrificing performance. Somewhere around 500Mhz, GF2/Voodoo2, and SB Live/A3D will work well with old DirectX games, glide, etc, and be more than fast enough to play those games at top speeds. Probably most of the newer 9x games would play fine on XP with a faster processor.
I went through a similar phase, but afterward, I found I spent almost no time on the Win98 and XP system after I had so much fun getting them all set up and games installed. The same games worked just as well with GOG installers on a modern system, so what's the point of another physical computer that I need to hop on to use that's outside of my normal computing area? These games also tend to look normal on an LCD display, whereas DOS games need a CRT to feel authentic. So I pruned out my 98SE system and left myself with one DOS PC (with a Pentium and CRT) and the WinME system mentioned above. I guess it helps that I'm a bit on the older side, so my "glory days" as a gamer were from before Windows 95 was released. I was that guy that tried to ignore Win3.x and hated moving to Windows 95 from DOS when the games I wanted stopped being available on pure DOS. The other tech made me do it begrudgingly, and I eventually got over it.