It's pretty much a given that when you go back into gaming's past and try to play the old stuff, you're likely to run into trouble.  Backwards compatibility is the bane of many programmers and always threatens to be incomplete as hardware and software change.
 
I keep this in mind during my struggles with Good Old Games.  Some of the problems stem from our having bought a low-end, substitute monitor to replace are better-performing but deceased LCD model.  Pretty much everything that worked on this machine worked on the latter, but the former monitor has given me no end of gaming headaches.
 
On top of that, despite many of the games I'm trying to play being made before my current DirectX version, programmers often force the backwards compatibility software to emulate DirectX calls that aren't even in the game, messing things up for those of us who won't (or like me, can't) update their DirectX without making things explode.  I suspect that may be part of the reason that other people can all but complete Sanitarium with a minimum of hiccups, while I and a bunch of others have to stutter-step-save every few seconds to avoid the inevitable crash (and now I can't advance any more, no matter what I do).
 
Games from the high-end DOS era have been uniformly great for me.  Despite some speed tweaking issues that made the cursor flicker at different rates depending on what screen you were on, World of Xeen was dynamite through the rightly lauded DOSBox.  But stuff that came out around the Windows 9x era have all kinds of crazy compatibility issues with just about any machine.
 
This would be expected, but since I'm paying GOG.com money to give me a working game, I guess it's easier for me to feel disappointed when they're surprised by the complaints when the games don't work.  I imagine they don't have the resources of most game outlets, and I still respect what they're doing, but until they come out with a decent fix for Sanitarium I'm going to hold off on buying stuff I know is from that especially rocky Win 9x subset of games, and I'd suggest that you be very cautious, yourselves.