If you want to run gauntlet legends, run the dreamcast version, it won't run well in MAME, there are still problems with the emulation, even on higher end rigs it has sound issues and slows down after a couple of levels.
The dreamcast actually has a TON of fun games on it, sould caliber, MvC2, Capcom v SNK2, some decent shmups, powerstone is fun. None of these will run in MAME on your setup.
I wouldn't straight up upgrade my CPU without playing some games and seeing if its worth it. You will probably find that most that you want to play is playable and that some of the things that you want to play won't be playabe, even with an upgrade. Plus for 100-150 bucks you can get a used core 2 duo, which would be a lot better for mame, I would rather do that than upgrade a P4 processor, its not much more money and would give you more bang for your buck
In terms of a video card, it DOES matter for some emulators, but not for MAME. Check out the M2 and Zinc emulators, and if you are interested in those, get a video card that supports Pixel Shader 3.
With the hardware you have, and like a 25 dollar video card, you will be able to play a surprising number of games if you venture out of mame and look at the dreamcast, m2 and zinc emulators.