This is going to sound lame, but the first thing I would do is to update to Mandrake 10 and make sure to specify Kernel 2.6. Though I haven't really had any speed issues with either Mandrake in general or KDE in particular, installing Kernel 2.6 was like getting a new machine. I might have lucked out with the particular video card I have as well, even though it's a really old piece of crap, the drivers might be very good. Try finding updated versions of the drivers for your particular video card. The reason I started using KDE was that Gnome was slower than dirt, but even Gnome is pretty peppy nowadays. Again, the first thing I would do is upgrade to 10 or at the very least, update your Kernel to the latest stable 2.6. If you absolutely need to, you can rebuild your Kernel, taking out all the crap you don't need as well. Another option would be to start shutting down unnecessary services. Linux comes standard with a ton of services running that you probably don't need (are you running a mail server? If not, you can kill the Sendmail/Postfix and POP/IMAP services, etc...).
Remember, though, ain't no way Linux or Windows is EVER going to by as spry as our beloved AmigaOS. It's just not going to happen.
On a Windows note, I have had XP crash. I've had XP Blue Screen. It doesn't do it as often as previous Windows releases, but it can happen. And when it does - WHOA NELLY! It usually is extremely bad news. If you've ever had XP automatically reboot, you've actually gotten a blue screen. It is set by default to automatically reboot on a critical error. You can turn that off if you please (the comment about Win2K automatically rebooting is the same thing - a setting that can be changed).
To the comment that it takes forever to get to a useable desktop in XP: It has been this way with Windows for a very long time now, they simply moved the "location" of the wait. You'll notice that XP loads seemingly exponentially faster than Win2K. They're fundamentally the same OS, so how could this be? Well, when you boot XP, it pulls up the login as quickly as possible and then loads all of the internal system crap and drivers after you've logged in (or, more accurately, after the login is displayed - all that stuff will load if you leave the machine at the login prompt). Windows 2000, on the other hand takes for fricking ever to get to the login screen, but comes up to a useable desktop very soon after you log in. It's a perception thing. XP seems to load faster because you get to interact with it much sooner. It still takes forever to become useable, though.
