While I've had a fantastic experience gaming on my Windows 98se system, I have to admit a fair amount of short-comings. The RAM controller could suck golf balls through a straw; it's horrific. The user-friendlyness leaves a good bit to be desired, but I've learned a lot about computers just by having to operate my computer, so for me, a plus, for others, a complaint. Multi-tasking...well, let's just say that it's roughly the same situation as with the RAM controller.
Processor utilization, however, I've found to be fairly incredible. I had managed to, on my old P3 450MHz, Savage 4 (AGP 2x), system, run a lot of games I shouldn't have been able to touch (according to the min-sys-req's on the game boxes, and taking into account the quality settings). Included are Empire Earth (medium), Red Faction (medium), Morrowind (low/medium), and Dungeon Siege (god-awful). Most of this I attribute to 98se's more minimalistic approach. It doesn't have a lot of features to make things easy, but it doesn't have a lot of features to bog things down.
Compatibility also tends to be a bit lacking, particularly recently, what with the migration to the NTFS OS'.