I would like to add to The Coop's awesome post by suggesting probably the most useful tool you can use with DOSBox;
D-Fend is a frontend program for DOSBox which basically makes all the tweaking for individual games so much easier.
It does this by first selecting the .exe file that you want to be run in DOSBox. It then lets you select which drives and folder you would like mounting, also letting you choose whether you want it to be a HDD, CDROM or floppy. Lastly, all the individual tweaks such as CPU cycles, sound settings, frame skips etc can be messed around with, all without touching the .conf file.
I know most of you are OK with tweaking files rather than getting a program to do it for you, the but the feature that really does make D-Fend almost essential is that it sets up each game indiviually. Every different game will need to be tweaked differently, so rather than remember each tweak for each game or keep 50 different .conf files, you just double click the game in the frontend, and if Im not mistaken, can also make a shortcut to that game, with all the tweaks included.