I played most of my DOS favourite games on Win95 and ME.
The ones I can remember with no effort are Duke Nukem 3D, Doom, Hexen, Ultima Underworld, Terra Nova, Gobliins, Scorched Earth, Syndicate, Magic Carpet 2...
Win95, Win98, and ME were still based off of MS-DOS, so DOS games naturally still worked for those systems. Newer versions of Windows are built upon NT, thereby existing as the sole operating system for the computer. DOS programs don't work correctly on such systems and you need an emulator for those situations, such as DOSbox.