They do not all work fine, and you gave the example why. Games don't support them. I don't know what it is you don't like about XP, it's better than 98. At home I skipped from 98 straight to XP and haven't looked back. 98 lacks support and doesn't have all the functionality of XP, so there's no reason to stick with it and lots of reasons to upgrade. 2k will lose support soon too.
I played Far Cry etc on 98se. Doom 3 is the only game I know of which doesn't work with 98se.
Conversly, some older good games like System Shock 2 don't work with XP (compatiblity mode doesn't work either).
His question is about GAMING. There is no no additional functionality with regards to gaming with these OS's, other than the rare instance (actually D3 is the only one I am aware of) where a game does not support one or the other of the OS's. Although, I would expect this trend of win98se not being supported to contune with newer titles.
Unless I mis-understand his OP, the answer is that AMD doesn't favor one OS over the other. An AMD system works well with all OS. I have used 98se, win2k & XP on my AMD rig, all work well.