The most common problems for games written for Windows 95 are installers and kernel hooks.
Many Windows 95 titles used 16-bit installers, and those installers won't run on Vista 64-bit.
Also some games, like
Balls of Steel, try hooking into the kernel to try doing DOS-game-type "acceleration." While that may have seemed acceptable back in the days of 386's, it leads to major compatibility issues today.