Last year I made a 1.4Ghz Tualatin build based on a TUSL2-C board, an ATI 9600 Pro and a SB Audigy 2 Platinum EX - it quickly became my favourite computer. For games from the late 90's to 2003 it really is the best experience I ever had in a Win9x style system. I opted for WinME to give it a try and was amazed with the stability and performance after all the hindsight and drivers that we had since that time.
I enjoyed it so much that I'm on the way to completing another similar build. Took a little longer because of the progressive scarcity of the boards, but it's still definitely possible to get it at reasonable prices (for now at least). Pentium IV builds were mentioned in this thread which makes sense. But I truly believe you will appreciate the Pentium III-S build a lot more. There's just something about the Win9x experience that ticks a lot of nostalgia boxes, from the various OS to games, and to see the Pentium III platform perform at its peak is just marvelous. Get a Logitech Pilot Wheel USB mouse and a Microsoft Natural Keyboard and the smoothness and performance will feel fantastic. I will never play Mafia, Quake III, Max Payne or GTA III on any other computer, that's for sure.
If you start now you'll be able to get all of the components without breaking the bank, even if it takes searching and patience. The second build took me 3 months give or take. Get the easier stuff out of the way (Case, cables, HDD, RAM...) and go for the cooler from the start. I used Titan socket A 462 ones for both builds and was very satisfied, you can still find them easily and sometimes even complete in box. Oil it up and it will barely make noise (for a cooler of the era). The Pentium III-S CPU is the one item I would get from Ebay as I've never found it elsewhere, but the board doesn't have to come from there. For example, a lot of central or eastern european hardware stores (small local ones with websites) still have a lot of hardware from the era, and a lot of times they price an item on their home site at a perfectly reasonable price, and then place the same item on Ebay or AliExpress at much higher prices like I'm sure you saw. Although there are many Tualatin compatible boards the TUSL2-C really is the most common and probably cheaper to come by.
Again, if you want to go for it you better start searching now, but it's definitely still possible to find affordable stuff. And you can always build or get a Pentium IV PC for nothing or next to nothing at any time anyway, as it's the current generation that is going through the "trash" phase, before it starts becoming "vintage" and "collectible" in the future. As for ISA, just make an older and more period correct build, in my opinion. Good luck!