after some expensive and unproductive tests with Windows and VSTis, I came to the conclusion that I need real hardware and the possbility to switch between instrument patches quickly via jog dial etc. or switching the arp on/off with an extra button... I want to to a kind of "music prototyping/creation" - developing new ideas and create something like a demo mix based on these ideas...
As a teenager my father had a big stage piano with sequencer, which I loved. When I look at the old files I hear humble first tries which improve to (comparably) musically and technically far more advanced arrangements in the most recent files.... After leaving my parent's house I tried to archive similar results and spent money for a MIDI USB keyboard, sequencers and VSTis like Native Instruments Kompakt. But i barely used that and never got comparable results to the stage piano times. 
In the end I came to the conclusion that I need more real hardware. Doing everything on my "general purpose" PC (which also had some office photo gps mp3 video cad etc software installed) kind of blocked my creativity... In earlier days I could go to the stage piano and just try some chords / cadences. And if they sounded cool, I called the sequencer and started to create the arrangement.
During the last months, I planned to spend around 1000 Euros for something like an Roland FA-06. But now I've found a better approach I think. Last year I read about MIDI live setups and bought a Casio XW-G1 (special offer). I also intended to replace my old USB master keyboard with the Casio. The current approach is using the Casio with its patches also as basic main instrument (I think its sound is a little bit underrated in most reviews, with some tweaking you can get modern electropop mixes out of it...).
Second idea:
By using the Casio also as instrument, I don't really need VSTis anymore... So I don't need Windows or a Mac. At the beginning I tried to use a MPC 500 for sequencing, but Its note editing capabilities are not quite intuitive... I decided to buy a cheap Laptop with basic sequencing software. Because I don't use big commercial sample libraries, I can use Linux with ALSA or Jackaudio included which perform better than DirectSound and are better integrated into the system (compared to third-party ASIO by Steinberg). There are no issues like vendor lock-in, expensive virtual instruments not running on future OS versions etc. And it's cheaper than a Mac.
My configuration is now:
-Cheap 300 Euro laptop dedicated for sequencing (Pentium 4-Core)
-KX Studio installed on it
-Casio XW-G1 connected to the laptop via USB, alternatively connected via ESI Midimate II.
Basically everything works fine and as intended. Most problems which prevent the creation of nice arrangements I had with music software on my general purpose PC are gone!
But there's one technical issue: I get timing problems when I send a looped bar with line of 1/16 notes (shaker, hihats...) from LMMS to the Casio, or a series of the same bar with 1/16 notes. There seems to be a kind of "gap" between the bars which varies in length. Sometimes a series of the bar sounds correct, sometimes there are tiny gaps. In a recording of one arrangement I even have a misplaced 1/4 kickdrum in one bar. This happens both with a direct USB connection and using the ESI MIDImate and the MIDI in of the Casio. These problems don't appear when the Casio is controlled by the MPC.
I've read some info about MIDI and USB and latencys and suppose that the main problem might be the USB protocol? Are there possibilities to tweak this? Perhaps I can configure my Linux that one of the CPU cores uses 100% CPU power for polling the USB interface..?
I've already played around with the LMMS buffer size and got different results. The setting 128 frames seems to be the best for me.
I'm also wondering why a single bar with 1/16 notes usually plays fine. The problem is that sometimes the following repeating of the bar seems to start too late. Could that be a LMMS problem?