First of all, this guide assumes the following, as it's how I roll:

That you are using windows
That you want a GUI
That you can use a torrent client

I greatly prefer this version: http://www.mameui.info/ you can get 32 or 64 bit depending on your machine. Normal MAME is commandline, this gives it a nice easy GUI with all the settings you need and tons of extras.

Get that, extract it to wherever you want mame to be.

Now you have your MAME frontend, MAMEUI. You can go ahead and run it's EXE and set it up now if you want to. I usually start by disabling the background because I think it looks terrible but that's your choice. You can have it display lots of extra stuff on games, like it's flyers, titlescreens, stuff like that too, but you need to download those separately (the place i suggest for roms in a later post has this stuff too).

Some more textual things that are really helpful for MAMEUI:

history.dat: http://www.arcade-history.com/
Cheats: http://cheat.retrogames.com/
catlist: http://www.progettoemma.net/?catlist
nplayers: http://nplayers.arcadebelgium.be/

history.dat gives you a nice detailed history of most games in MAME, it's very education. Just drop history.dat into your MAMEUI folder with the exe. Cheats gives you cheats, obviously. it adds a cheat menu to the in-game config mnu (just hit tab while playing a game). catlist breaks the games into helpful genres, so if you want a pac-man like game, you can browse the "maze" genre, if you want to beat dudes up check out "brawlers", etc. Very helpful. nplayers is similar to catlist but it gives you the option of browsing games by the number of players it supports.

All of those things are optional, but personally I can't live without them.

Now you need your roms. First off, a warning. A current full set of regular MAME roms is about 20 gigs. That's a lot of space, but it's also a shitload of games. If you know for sure you only want some games, you can seek out single roms. In my opinion though, it's worth just getting them all for the time saved hunting down singles and the ability to play anything at a moment's notice. There are some other types of games MAME supports, that come as CHD files. Those are games that would have actual hard drives in them in the arcade, and they are pretty huge. You can get those if you want, but we aware that many of them still don't really work all that well yet. Same goes for the Laserdisc games MAME now supports, they are pretty huge.

Anyway, here's the best way to get your MAME roms. Fire up your torrent client and go make an account on http://www.pleasuredome.org.uk/
Filter the torrents to be Category: Mame and Status: Free Only. This will list all the MAME torrents that are Free, that is to say you can download them without worrying about your ratio on the site. The current basic set of MAME roms is called [FREE] MAME 0.133 ROMs, it's 20 gigs, and currently has over 500 seeds. I just downloaded this from scratch last weekend, it finished in less than 8 hours. Tell your torrent client to download the files to the /roms directory where you put MAMEUI. This way, in the future, you can just tell the new torrent to go there too, and it will check your existing roms and only download the new things added to MAME since your last update. This is very handy. Set up the torrent when you know your house won't mind the connection being maxed out for a few hours, and go to sleep or whatever.

Wake up, your torrent is done.

If you've done everything properly, you should now have MAMEUI installed, and a nice full current set of the normal roms. Go ahead and shut off the torrent, it was free anyway so your ratio is probably great now. Start up MAMEUI, and go to options, directories. Make sure your directory is set to where you downloaded your roms (mameui\roms\ most likely). Hit ok, and then MAMEUI will start checking them, it may have started doing this when you started the program up too if you have them in the right folder. Once it finishes that, you can now see the games you have available to play, which should be all of them.

Now you should try picking out a game and making sure it runs properly. Anything will do, but don't bother with games with orange or red icons, as they are games that aren't working properly yet. Stick with ones with green icons. the game should hopefully load up and you'll get a warning screen about legalities etc. follow the instructions on screen and soon enough you should be in the game. One thing to know, since you are emulating an arcade game, some games will have power-on self tests like computers do. So don't freak out if it starts cycling through colors and stuff at first, it's normal. Eventually the game will come to it's attract mode or title screen, and then it's ready to play.

I highly suggest getting yourself a USB adapter for your controller of choice, or maybe a wired 360 controller or something. However, the standard keys for starting up in MAME are 5 to insert a coin for player 1, and then 1 to press player 1 start. You can change these controls (either globally, or per-game) by pressing tab and playing with the menu there. Most of the options are pretty self-explanatory or generally unnecessary to mess with, you'll get the hang of it by just trying them out. From there on, enjoy your games.

Also, I suggested extra artwork in an earlier post. You can get those on pleasuredome as well, it's the extras torrent. They are nice to have, but obviously make for more hard drive space taken up. Those are optional, up to you. I do however highly suggest getting the alternate icons at http://zemamu.free.fr/icons124u5.zip and placed them into the icons folder, they are much less ugly and more helpful than the default ones.

OK, that was a lot bigger and wordier than it needed to be but that should help you guys get started. Any questions, feel free to ask. Find any hilarious / awesome games, make a thread in /vidya/ about it!

attached is an image of my current MAME setup for those interested.

Oh yeah, before I forget: you don't need to unzip your mame roms. leave them zipped!

I really <3 this, Cryo :D