One example that comes to mind would be Discworld Noir, which is very difficult, if not impossible, to get running on any OS newer than Windows 98. At least I've only managed to get in run by using Virtual PC installed Win98 after I've had WinXP machine.
Heck, I've even tried to get the game running by using Wine under Ubuntu, but at least for now Discworld Noir won't even start under Wine's newer version. At some point in time I managed to get the title screen of the game visible, but then they did something to Wine and the game stopped working all together.
I've understood, that most problems with Discworld Noir come from old copy protection system, which is some old, obscure and deeply broken CD check, that just doesn't work on newer systems. Also, the game doesn't seem to like newer hardware, as some people have gotten it working under WinXP.