I run XP, but personally think 2000 is the best. NT4 wasn't great, as they really didn't finish all the DOS/9x compatibility. Remember that WindowsNT is a completely different OS. Windows9x|ME isn't an OS, DOS is. It's just a shell for DOS. WindowsNT is an OS, based on the NT kernel. So... NT has to emulate DOS.
DOS is DOS, NT is NT. They are pretty much as different as Linux and DOS, except NT has far more built in compatibility with the file systems and such, and it is done in such a seamless way, the end user can't tell (usually). NT doesn't use any DOS in it, it was actually based of OS/2, which too, it completely different from DOS.
NT4 didn't have perfect DOS emulation. However, when 2000 came out, it have excellent DOS emulation. So good, that it ran tons of DOS games that Win9x|ME couldn't. This is because lot's of old DOS programs won't run when other programs are running, even with Windows' workarounds. Since NT is an emulator, it can much more cleanly run them. However, when XP rolled around, many of the DOS games that ran under all other versions won't run.
Since Windows2000 had just great DOS compatiblity and was so stable that running DOS apps would never crash the system (like they do in Win9x/ME), and WindowsXP doesn't run them, Microsoft probably did it to continue their progressive killing of DOS.
Another thing is that Windows3x is even closer to DOS than 9x, so many old Windows programs don't even run properly under XP! Microsoft seems to be trying to kill everything that isn't at least 32bit!
