This is a rather broad question, but the answers are inter-related so here goes.
Should I build a Win95 or Win98 computer in order to also play DOS games (System Shock, Teranova...)?
This was common in the late 90s: PCs mostly ran Windows 95 or 98 then, but still ran DOS games too.
I know some DOS games plays too fast on systems that are too powefull, should I just build a DOS only computer?
That's true of older DOS games, but the games you've listed work well on faster computers. In fact the later DOS games (published after Windows 95 was released) tend to be quite CPU-hungry...
Should I seek an AT or an ATX motherboard, and which models and specs are the best?
This is related to the CPU and graphics card you end up choosing. If you're getting a Pentium II, Athlon or later CPU, you'll find more ATX motherboards than AT motherboards. If you're aiming for a classic Pentium or Pentium MMX (socket 7), you'll find more AT motherboards.
In any case, if you can get an ATX motherboard, it will be easier to build a working system nowadays: AT power-supplies are harder to find, AT keyboards too...
What processors specs should I aim for?
I would aim for something typical for the very end of the 90s, e.g. a Pentium II around 500MHz. (In 2000 I had a 750MHz Athlon running Windows 98.) For a pure DOS system I prefer classic Pentiums, but Windows 95/98 games tend to need faster processors.
What graphics card specs should I look out for (I know the Voodoo series is great, but they are way too much expensive);
The ideal combination for DOS games is an S3 card of some sort (S3 Trio64 for example) along with a Voodoo 2.
For Windows 95/98 you really want a card that can run DirectX well; early GeForce cards were very good. Their VBE support under DOS is good too, so you could use that for DOS games as well. Using a GeForce means getting a motherboard with good AGP support, which pretty much means a 440BX board and a Pentium II or III. (Just make sure the board has ISA slots too, for the sound card.)
What sound cards specs should I aim for (I've always heard that the Soundblasters cards would be the best)?
For DOS, get an ISA Soundblaster. Soundblaster 16 cards are cheap and plentiful, and the plug-and-play models are easy to set up. These will also work well in Windows.
PCI sound cards work fine in Windows but tend to cause problems with DOS games.
Picking a sound card is probably the hardest part in all this; check out the Doom E1M1 comparison (and part 2), LGR's evolution of PC audio, or Anatoly Shashkin's tweets which often touch on this.