I've used/tweaked/tested all Win9X, WinNT4 and Win2K a lot, here is the bottom line:
If games are imperative, use Win98SE. It's the best (or least-worst) DOS-based operating system from MSFT, especially for games. WinME is a step backwards with slower performance and the fascist SDMI support (see my sig).
If games are second priority to work (and you're limited to one OS), then use Win2000 Professional. Game support will be mediocre, but most Windows games will be at least usable. On the other hand, you won't lose all your unsaved work to a BSOD.
My goal now is: Linux for work, Win98SE exclusively for games. Each is best in its niche.