Unreal; and later, Deus Ex, based on Unreal too :D.
But Windows 2000 was much better for gaming. NT4 supported DX3 and DX5 unnoficially'.
W2k had a DLL call flag to enable a Windows XP like compat mode:
http://www.activewin.com/tips/win2000/1/2000_tips_43.shtml
It only worked on desktop shortcuts, but enough to run most quirky Win95/98 games.