Well there are always the totally unplayable like Wing Commander. I used to keep an old 486 machine around just to play games like that.
Even under DOSBox? With a modern system and the most recent version of DOSBox (Anything from .72 or onwards, from memory. Or maybe it's .7x in general? I remember there being a significant performance jump in some time ago, but I forget exactly when. It's also worth nothing that DOSBox is what GoG use to wrap DOS games when you buy them there.) you should be able to get decent performance and compatibility with it these days.
Xcom is really the only one I've tried to play in years. If it worked under windows I didn't consider it a DOS game so that rules out quite a few things that would work under Win 3.1 or Win9x as well as DOS.
Apologies for nitpicking, but how exactly do you define this? Quite a few DOS games worked under Windows 3.1 (I myself have fond memories of playing networked Descent in school computer labs under Windows 3.1 back in the day), but they were still DOS games in so much as they'd work even when Windows wasn't loaded (Windows programs would throw a message saying "This program requires Microsoft Windows" or something). If you bring compatibility with Windows 95 in to the equation, that pretty much disqualifies *ever* DOS game as being a DOS game by your definition. It just seems a bit silly, no?
That aside, +1 to the previous nominations for Descent 1/2, Terminal Velocity, Raptor (never have been much of a shmup fan, but I loved this for some reason) and Commander Keen 4 (Best thing to ever come out of id, tbh. Dopefish Lives!).
I also want to add Warcraft 2, Beneath a Steel Sky (which started life on the Amiga I think, but was ported to DOS - as well as everything else now, even the iPhone - which is where I played it and where my memories of are from so it counts. Also interesting, and something that didn't fully register for me until quite recently, is the artwork in BaSS is by Dave Gibbons of, among other thigns, Watchmen fame), Jazz Jackrabbit, Wacky Wheels (at a time when Mario Kart was all lovey dovey with it's "play fair or be punished" message, being able to knock players about with all kinds of ridiculous weaponry was awesome), SimCity/2000, Duke Nukem 3D (I can't believe no one's mentioned this yet...) and Epic Pinball.
The list goes on, but they start getting increasingly obscure from here. I will however call special attention to SkyRoads. It's sort of a driving puzzle game where the goal is to get from one end of a road to the other before your oxygen runs out while contending with obstacles such as variable gravity, tiles that slow you up and speed you down, tiles that affect your "handling" and even tiles that make your ship explode on contact. The real highlight though, at least to me, is the music. It was only AdLib, but the tunes were better than anything I've ever heard in a game with the possible exception of Terminal Velocity. The best part though is that it was released as freeware by the developers, an Estonian outfit called Bluemoon software, a while back: http://www.bluemoon.ee/history/skyroads/
To be honest though, if I was in any position to do so at the time, I probably would have paid for it.