I'll leave the DOSBox quirks/technical issues to those who know of them - I, personally, am not.
There are only a couple of things you can do to make the game unwinnable, but they only happen towards day 10 (i.e. the final day of the game):
1. You can - potentially - make the game unwinnable by
entering the Voodoo Hounfour in New Orleans without leaving Mosley the proper items to find you and enter after you. You can always return to the entrance and leave them -
but if you go into Grace's room and you haven't left the items for Mosely, you may as well restore.
2. You can also make the game unwinnable by
not picking up the disguises before you enter Grace's room. You need 2 masks and 2 robes. If you don't have those before you enter Grace's room, you may as well restore.
(Of course, you can still die in that situation if you do something stupid - but if you don't have the items mentioned above, then you're screwed no matter what you do).
As for GK2 and GK3, I don't believe there's any way to make them unwinnable. There are still ways to die, though. (After all, this is a Sierra game!)
As for your last question - i.e. "Is there anything specific I should be aware of before starting?" - well ... this is a very broad question. What do you mean, exactly?
I can tell you that you play Gabriel Knight, a self-centred wannabe writer who owns an antiquarian bookstore in New Orleans. The bookstore is called St George's Books. You are trying to write a horror mystery, but you are experiencing writer's block. This is because
every night, you relive the same nightmare, over and over.
Your (unpaid) assistant is a young, attractive, Japanese-American lady called Grace Nakimura, and... that's all I can say about her.
She'll tell you more in the game!
Sorry, but anything more I say about the game will be a spoiler...