MAME started off as a command line program and a lot of people found it hard to get on with. Frontends were made to simplify and/or enhance MAME by allowing you to run it from a user friendly interface. They often have better support for additional media and allow better access to the huge amount of data MAME stores about it's systems and software. There are dozens of frontends available but I've tried to include only the most active ones on this page. Here are some of the more popular...
Emuloader is a powerful frontend that support pretty much all the available media available for MAME. It is always up to date and it has a great forum available as well. Emuloader also supports other emulators as well. You can get it from here.
Negatron is a fairly recent addition to the list of MAME frontends. It's written in Java and support a lot of additional media. There is also a custom build of MAME by the same author which uses a lot of extra features in the frontend. You can get it from here.
BletchMAME isn't necessarily a frontend as it doesn't run independently of MAME. What the author has done is added code into MAME which allows BletchMAME to replace the internal MAME UI with a Windows based one. It can also show the screen output in a window with standard Windows menus instead of the internal MAME ones. You can get it from here.
QMC2 stands for Quick MAME Catalog / Launcher II. This is one of the more popular frontends for MAME. It is always up to date and is very customizable. It is also available on multiple operating systems. You can get it from here.
GameEx is the perfect frontend for a cabinet. It has great support for controllers and is incredible customizable. You can get it from here.
Hyperspin, much like GameEx is the perfect frontend for a cabinet. It also has great support for controllers and brilliant user interface. You can get it from here.
Emulation Station is a frontend mainly used by RetroArch/RetroPie. It is very customizable and has a very active community developing great themes for it. You can get it from here.