The only reason you'll need that VGA box is if you want to hook up your DC directly to your monitor, completely bypassing the PC. I've hooked a DC up to my 21" Hitachi monitor both through my PC (V3 3500) and directly using the box, however, and I can tell you that the quality on the VGA box is far, far better, as the colors don't seem so washed out and the textures aren't so fuzzy.
If you do go with the VGA box, though, I'd recommend checking out
IGN Dreamcast's site for reviews of other boxes that are way cheaper and perform just as well - see the peripherals section of that page for more info.
Regarding your question about the game list, you can make just about any game work with the VGA box with a simple swap of the cable from connected to TV to a connection to the monitor after the game starts - IGN did a walkthrough of this a while back, I can't seem to find it, but you may have better luck.