I like to maintain a full set of ROMs. Mostly because I like to participate in things like the AtariAge MAME high score club, and I'd rather not have to hunt down ROMs, I like to just know that I'll have any game that is part of the competition.
The only annoying thing about this is always forgetting which one to use (set 1, set 2, set 3, ver b.2, ver b.7, etc).
Also, as somebody mentioned, I fear that if I clean out the list I'll miss out on the discovery of new games. There are so many on there that I've never played or heard of, and it's fun once in a while to just go exploring.
Honestly, even though the list is enormous, I don't find it overly cumbersome. I use MaLa, and I have simply created a separate list for each letter of the alphabet. I tap the joystick left and right to pick a letter, then up and down to pick a title. For the longer lists, I just hold down button #1 when and the up/down scrolling goes into overdrive speed. Never takes more than a few seconds to find the game I want.