In my mind the Pentium Pro is the perfect NT4 machine. I wanted to make a Pentium Pro machine, but with 95C instead so I could still do some DOS gaming. NT4 can definitely be used for some early 3D gaming. The NTVDM is worthless, so DOS is out of the question. Most 3D games like Quake, Doom, Duke 3D, and even Maxis titles have some sort of version on NT. If you do make a Pentium Pro machine for NT4, you might find some nerdy interest in doing a multi socket build. If you can find a good multi socket board on the cheap, it might be a neat idea. Not much use for it though.
My planned PPro build was a 512k 200Mhz PPro with 128MB of EDO RAM, an Ati Mach 64 PCI, 4MB Voodoo 1, and an SB AWE32 CT3670. This in my opinion is probably the spiciest combination for early 3D gaming, and mid to late DOS gaming. The Pentium Pro was rubbish at 16 bit code execution, but with a 32 bit OS it could out perform some early Pentium 2s no sweat. You may even be able to get away with something like a Voodoo 2 SLI with Half-Life running on there, they were that good at 32-bit code execution.
The only reasons that the Pentium Pro flopped tremendously was that it was too expensive and too weak compared to the Pentium MMX for consumers to buy it, and with very few advantages compared to the DEC Alpha and MIPS based workstations of the time for professionals to take an interest in it. My fascination with the platform resides in it's oddity, it's strange performance, and the snazzy gold/purple FCCPGA package it comes with that would make any retro computer geek horny for some sweet obscurity.
Maybe I'm going a bit too hard, but definitely, if you want an NT4 machine, the Pentium Pro is probably the coolest option. You may also be interested in earlier versions of NT. They are even odder, having full Win32 support, but a Win3.x UI. They were incredibly strange. If you want to go even crazier, OS/2 is probably as nuts as you could go with perfect Win16, DOS, and native OS/2 support. It's truly the Cadillac of operating systems, and can do everything as good as it's respective counterparts can. It actually may be a more fitting choice for the Pentium Pro, because like the PPro, OS/2 was too expensive and too useless compared to the consumer offerings for most consumers to buy it, and it was too strange, and too useless for most professionals to buy it, outside of the embedded market. Most professionals were running Unix based machines at the time on the aforementioned DEC Alpha/MIPS platforms, and just didn't care about any of these strange half way options.
Good luck on your machine, because this, IMO, is probably the coolest, strangest, and most awesome configuration you could think of for retro machines.