What kind of machine you put together really depends on what games you want to run on it. A machine made to run Baldur's Gate and Diablo II will not do a great job of playing older DOS games, while a machine meant for Space Quest III and Ultima VI will do a lousy job at Windows stuff. This is why most people just go with DOSBox or pre-wrapped GOG releases, as they don't want to have 4 different computers to cover different eras in PC gaming.

If you're starting off with literally nothing, I'd recommend asking friends and family if they have any old computer stuff they want to get rid of. You'll almost certainly be able to get some useful hardware for free, and then see what you can do with it. Try installing some older operating systems, mix and match some of the hardware and see what the results are. Once you come to some idea of what you want in the end, and what gaps need to be filled, then you can start looking for specific parts.

--Zero