Well, since I can't have everything and space is limited, I usually plan any retro build based on it's utility and some kind of "technological milestone" it represents.
That means I try to avoid builds which are redundant and cover too much of the same era, right now I have only two retro builds:
1- A P200MMX: To cover 1990 - 1997 (DOS only), for a period where DOS was the main OS for games and no standards were defined. I.e. DirectX was on it's infancy so many games were developed for DOS even after Win95 was released. It also has an older Sound Card (AZT 2320) which has better OPL3 and it's better suited for older titles. In this machine I use Freedos 1.3, and despite having compatibility issues with very few games, it has a lot of quality of life improvements over regular DOS.
2-Athlon 750mhz: To cover 1995 - 2000 (Windows 98 SE), for a period where DOS died out and Windows and 3D acceleration (OpenGL and Direct3D) became the norm. It also covers those late DOS games with SVGA graphics that run too slow on period correct specs. It has an ISA Sound Blaster AWE64, so it still works very well for most DOS games. In this system I have Win 98 SE installed, with the option of booting directly to DOS 7.1 during startup.
As a bonus, the Athlon 750 also covers the 1980's as it can be throttled down to PC XT speeds thanks to THROTTLE utility (with caches disabled, this CPU can get much slower than the P200 can), games from that era mostly use the PC speaker so no issues with sound. Only thing that prevents it from being a great 1980-2000 PC is achieving 386/486 speeds as it's slowdown doesn't feel very smooth in games from that time (Alone in the Dark and Theme Park are some examples), so the P200 covers that range much better thanks to SETMUL and the older sound card.
A windows XP PC could be cool, but it's not as interesting for me as IMHO there was no huge change from that time. Things evolved a lot since XP, but there was no paradigm change like it was between DOS and Windows 9X. Maybe someday I'll build one as I already have some spare parts from around 2009.
Personally, I'd love to have computers with different architectures like 68K Macintosh, MSX, Amiga, Tandy 1000... but they are very expensive and take to much room and a whole set of monitors and proprietary peripherals. Anything older than that I don't think it's very interesting so I don't bother about those, except maybe the Apple II.
Athlon Thunderbird 750mhz
256Mb PC100 RAM
Geforce 4 MX440 64MB AGP (128 bit)
Sound Blaster AWE 64 CT4500 (ISA)