bevinator: Well Win95
...
it wasn't compatible with a lot of DOS games (remember the fun times of figuring out whether you were in "MS-DOS mode" or whether you'd actually quit WIndows?)
Unless you had manually exited Windows, I think a mere "exit" would suffice in both cases. Ie. if you were running the DOS app from within Win95, it would simply exit the DOS "window". If you were in real DOS mode with a special config/autoexec, it would automatically boot you back to Windows (or even already when you exited the DOS game itself).
The most important thing was that there was a way to get all DOS games running on a Win9x system, without having to resort to dual-boots or anything (ie. a MS-DOS/Win3.x partition, and a separate Win9x partition).
Some games (like those with fancy Origin Voodoo or JEMM memory managers) wouldn't run straight from Win9x desktop, but for those you could either just exit from Win9x to DOS, or even boot the machine with a specific config.sys/autoexec.bat for that particular game (which you'd put into the game shortcut properties directly). No more separate DOS boot disks or extra entries in the boot loader for the most demanding games that needed some special config.sys/autoexec.bat to run well, or at all. I remember I used to have such specific boot-options for many games, for example Ultima 7.
Many DOS games were actually easier to run from Win9x than from real DOS, because from Win9x you didn't have to try to figure out yourself how to load mouse drivers, hard disk cache memory etc. high, because they were available already, without consuming any conventional memory.
Frankly, I have hard time thinking how they could have made Win9x any (considerably) better, without breaking gaming backwards compatibility. Certainly they could have gone straight with the NT core and NTFS already then, but then the gamers (we) would have disliked it a lot.
It's the same as if Win7 wouldn't have been able to run most of your WinXP games. How many PC gamers would have wanted to migrate to Win7 then?
Technically Win9x letf a lot to be desired. But for what it was meant for, I still think it was brilliant.