One thing is for sure, MAME isn't really intended for newcomers to emulation. Their ROM system is really different, plus MAME supports many systems. MAME stands for Multiple Arcade Machine Emulator. It emulates multiple arcade games/systems. MAME supports thousands of games, varying from ones of 1977 to 2001. MAME can't run games newer than 2001. MAME is constantly developed by a group of programmers, and is the biggest emulator project alive. It started in 1997. MAME originally is a command line application, so that can be quite uncomfortable.
Luckily, MAME is open source. That means everyone may adjust the source to make their own MAME version! Several versions of MAME are in development that have a full Windows GUI. I prefer to use MAME32 Plus!. You may also use a Frontend with MAME, so you have a GUI too.
MAME ROMs are very different than console ROMs. Games for MAME consist of different ROM files combined in a zipfile. The zipfile has an 8 character name, and must be the name the MAME authors decide. For example, there's a game called Metal Slug 3. The MAME team has decided that the romset for this game must be in a zipfile (or directory named) 'mslug3'. To rename MAME ROMs utilities are made that use .dat files. These files contain the info about the ROMs (CRC valueas, size, name, etc.). DAT files can be found at Logiqx. Renaming utilities are ClrMAME Pro, RomCenter and MAME Merge. Be sure to read tutorials at EasyEmu first before attempting to begin with MAME.
MAME ROMs can't be found easily on the Internet, becasue of numbers and size. I've got one fantastic link for you, FreeMAMEROMs.
Well, that's all I got to say about emulation for now. I hope I've made you a little enthousisctic about emulation, you really should try it. Oh, and don't try to beg for ROMs by e-mailing me. Go search yourself; the Internet is BIG.