Copyright violation is not criminal. Civil action definitely, but you could not go to jail for having illegal roms in your house
Next question, has anyone been punished for roms? I heard Nintendo sued the hell out of some guy recently over some Pirated Wii Torrents.
Okay so we're talking MAME Roms now. Most people who download them belong to a relatively small group of people who are arcade enthusiasts and have them for personal use (not counting the unscrupulous fellows who put them in a public cab). It's illegal, sure, but it's a relatively minor blip on the game publishers' collective radar. Most casual computer users know not of MAME or would be immediately turned-off by the program being not so "user friendly". "I have to read instructions? Nuts to that!"
Additionally, MAME Roms are for games not readily available in stores in their current format (i.e. arcade accurate). You can say Centipede is available to purchase for various formats, but not so much in its original form found on the chips in a genuine machine (especially now that Star Roms is defunct).
The Wii Torrents, OTOH, is something Nintendo will come down hard on you for providing to the public for download. Same for Microsoft, Sony, Activision, EA, etc. with their game properties. These are games that are new, available in stores and will be making money for publishers for quite some time. Downloading these games is clearly just wanting "something for nothing" and, as its in direct competition with legitimate outlets, sharing them for others is a serious offense.
As an aside, I always read about those who pirate all their PC games and then complain that new releases are getting priority releases on consoles or go overboard with DRM. So they "teach them a lesson" by pirating the new games. That cycle continues until PC gaming is neutered and verging on extinct.
So yeah, we've all downloaded MAME Roms but I don't see it as a catalyst for lost profits for any of these companies. When it's a moral dilemma for me, I try to patronize the publishers and will purchase their new releases (or, in the case of Nintendo - even their VC releases).
I know it's all just justification to rationalize something that is illegal, but at least we're all trying to be good, even when it's not entirely possible.