MB: ASUS B85M-G in a Chieftec CI-02B-OP
RAM: 12 GB DDR3
CPU: Intel Xeon E3-1230 v3 with a passive Thermalright Macho Rev.B
OS1: Linux 64-bit
OS2: Windows 7 64-bit
OS3: Windows XP
OS4: Windows 98 (VM in OS1)
GPU1: AMD Radeon HD 7750 (OS1, OS2, OS3)
GPU2: Matrox G550 PCIe (OS4)
HD1: 250 GB SSD (OS1, OS4)
HD2: 500 GB SSD (OS2, OS3)

The hardware will cost about 100 e (without case and cooler), depending on where you are and what deals and bundles you happen across.

Based on testing many of these parts in other configurations, total system power draw in XP era gaming should be in the 40 W range.

The Radeon HD 7750 was selected after testing about 20 PCIe cards of that era, including the GeForce 700 and 900 series. It has broad Direct3D support all the way to early versions using the AMD iCafe driver in XP. Hassle-free SSAA that looks good and is compatible with just about every old game. A less efficient alternative for better performance in DX10-11 would be the GeForce GTX 560 while still maintaining reasonable backwards compatibility. Obviously details need to be reduced in more demanding later games, but the support is there if needed.

The Matrox G550 PCIe is known as the most backwards-compatible Windows 98 PCIe card. Used here as a passthrough GPU to a Windows 98 guest in QEMU to avoid OS incompatibilities with other hardware. Its role is to run any older game the HD 7750 or later Windows might have issues with, and generally to provide a performance experience similar to a graphics card from ~1998.

The CPU can easily run passive with a large heatsink as the case is an effective wind tunnel. Temperatures in non-heavy gaming should be in the 45 C range with the case fans running at quiet speed. For better XP support in theory you might go with an Ivy Bridge instead of a Haswell.

Linux is here to provide a modern OS with Steam and good passthrough virtualization.

I'm fine with onboard sound but the motherboard has room for a PCIe x1 sound card if you use a single-slot main GPU, or just go with a non-micro motherboard.

The system will be tested further in this thread as time goes on, maybe modified as needed.