So, one thing has just occurred to me amongst all of this talk of small PCs for Windows XP. I have generally viewed Windows XP as really only being useful as a retro gaming OS because it is the last one with native support for hardware accelerated 3D audio through DirectSound3D. The vast majority of games that work in XP will also work in later versions of Windows either with unofficial patches or other methods (unless we're talking about games that work best under Windows 9x), but the main thing that is lost is 3D sound support. So games that need it to have surround sound or to have any environmental effects will sound pretty flat under anything newer than XP.
With all that said, there are actually several options that can be used to restore 3D audio on newer operating systems. I remember tinkering with them years ago and having decent success, even with the ones that allow Creative ALchemy to work on non-Creative devices.
So, for a Windows XP systems to really provide some tangible benefit for retro gaming, it seems like it needs to either (A) run a game that simply cannot work properly on newer operating systems or (B) run a game better than newer operating systems (possibly due to drivers), or (C) allow 3D sound in a game that simply doesn't work with the methods of restoring these features on newer operating systems.
The problem with tiny PCs is that they generally cannot hold most of the sound cards that were built for gaming in Windows XP. I think the X-Fi XtremeGamer is the only card from the lineup that provides all of the latest EAX features in a low-profile form factor. The XtremeAudio is very stripped down and I think it may at least provide SBLive! levels of 3D audio, but I'm not positive. Other than that, there are a few scattered SB Live! variants that are low profile, but if you're trying to build a peak XP-era system, it is a little lame to have to settle for EAX 2.0, even if the later versions didn't always make a huge difference. Also, getting these low profile cards with low profile brackets is probably quite tough.
... and of course you need a free PCI slot in the system, AND it has to not interfere with the use of a gaming-worthy GPU.
I had been thinking about putting together some Ivy Bridge and Haswell Optiplex SFF systems for XP gaming, and they would certainly do the job with a K620 or K1200 installed, but they have no PCI slots, which would make it quite a bit tougher (and more expensive) to get hardware 3D audio.
There are some low profile PCI-E X-Fi cards out there, like the Auzen X-Fi Forte 7.1, but these seem to be very expensive and rely on a (usually missing) breakout cable for most of their connections. The Asus Xonar series, and some others, can also provide 3D audio in low profile PCI-E cards but apparently it is different from the "native" support provided by most X-Fi cards. I have a Xonar DX (low profile PCI-E) which I've been carrying over to my main PC build for 15 years and it still works, but I guess I could experiment with using it in Windows XP vs an X-Fi at some point to see if there is any real audible difference.
Anyway... I feel like this is a fairly important thing to bring up when discussing this topic, because most people that want to play "Windows XP games" may just as well play them on a newer PC with some patches and DS3D-wrappers before trying to use a small computer that may be incapable of providing that same experience.
If you aren't concerned about 3D sound support and just want to run games that work best in XP, then yes, these machines will still be highly useful and space-efficient, of course. 😀