It really depends on the era. Yes there was a period of pain. This was the DOS games, and in the Windows 95/98 upgrades from DOS where it was possible to reboot into MS-DOS mode. There were definately crashing issues A LOT, as many people who played games back then will remember the DOS4GW prompt. It isn't important to know what DOS4GW is, but the reason why a lot of people remember it is because when you launched a game in DOS, if it used DOS4GW, it would do something behind the scenes. When the shell opened, it would print the DOS4GW text to the console, but you couldn't see it. You would only see this message if you either quit out of the game, or the game crashes and you returned to the prompt. A lot of people also falsely thought this was an error.
Another big pain of the mid 90s was sound card compatibility. The old process was you ran a setup program to select your soundcard, and the main problem was that a lot of people did not have the cards that the game supported. There were always options for Roland, AWE32, Soundblaster, Gravis, Adlib, Soundblaster compatible, etc. If you didn't have one of the cards specifically named in the sound setup, then you had to do a guess and test. Not only that, you needed to set other settings like IRQ and what not. It was common that some games had auto-detect, but most of the time this either didn't work (no/incorrect sound) or it would freeze the computer.
Upgrades were an interesting thing. The speed difference going between 2X and 4X and then 8X CD-ROM drives was amazing. Another thing that changed the game experience was upgrading a sound card to one with more voices. You would know if you had this issue because some sounds wouldn't play, or the sound would become garbled or worse when you tried to pass more voices through the card than it supported.
Games crashing and sound card issues are the ones I remember the most. The games themselves were fine. Games made specifically for Windows ended up being more reliable than the ones that ran in DOS.