So why compile yourself a copy of MAME?
If you complile you own version of MAME you can adjust it to your own needs. I've got a dual core processor and I compile my version of MAME optimized to my processor. Realistically I probably only get +1 fps in games but it is a difference. Also you can compile the updates as soon as they're released so you don't have to wait around for someone else.
So What's Involved?
You need to download a few zip files, extract them into specific folders, edit a few files and then run a batch file to compile it. It does sound a bit too simple but that pretty much sums it up.
Where else can I get information?
Mr Do has a full tutorial here on how to compile MAME. You can also ask questions on the MAME Compiling Board here. Finally there is the "official" page here.
So what make this page different?
I've added these pages for completeness to the MAME guide. Mr Do has done a good job simplifying the process. What I've tried to do is put all the information in one place. The first time I compiled MAME I flicked between all the above pages which although wasn't hard, though it was a bit inconvenient. Obviously I'm going to try and break it down into simple terms and show a lot of what you need to do in picture form.