Win98SE is the best for speed and games.
WinXP is my choice for a mixed system for gaming and developing
Win2000 I still have a little hold on for pure developing system.
ME is crap. don't even consider it. Move down to 98se or up to XP asap
95 is dead without support. So don't consider it
2000 and NT run most games at about 30% 98 speeds (might be my video card driver though). But the DX ports for 2000/NT really kinda suck. It wasn't designed for that.
Also note that XP doesn't run some dos programs and some emulators do not run on XP at all. Mostly outdated emulators, but still something to note.