95 can't run anything beyond DirectX 8.0 (there is a length and good explaination why... but not gonna go into it)
98 is just a waste of time w/DirectX9, however is alright for everything else - personally i never liked it though crashed to often for my likes and it was a pain in the ass to get networks & drivers to work first time.
98SE - i honestly don't have a clue, never used it ... but i've been told its alright. Can't see how it can be that much better than 98 to be honest though.
MillenniumEdition - this is THE fastest Mircosoft OS to date, only drawback is that it is also THE most tempermental, it'll run DirectX 9.00 fine ... but 9.01 and 9.02 register as Dx8.1 and its a 50/50 gamble if they'll create a device.
Also ATi & nVidia cards tend to make it a little unstable using thier personal features.
2000 - really more of a professional OS for workstations, but is a very stable system ... not particularly fast though especially when emulating the other OSs
XP Home - Not to be touched with a barge pole, but if you have to then install SP1a and it should be fairly stable and workable.
XP Professional - With the exception of that annoying MSBlast virus which i've recently had the pleasure of finding out how much i hate sodding 18yo's with too much bloody time on thier hands ... it is THE most stable OS i've used. Never had a driver problem with it as it'll run all other Windows drivers flawlessly, although much faster using specially made drivers and its speed with DirectX is on par with Millennium Edition. Standard Desktop is a tad slow at time on FAT32 ... convert the entire system to NTFS 4096 and really the entire system will run faster than curry with laxitives.
[edit-]
just looked at that black viper thing... that dudes got my face!