I've never tried this with mame, but I keep all my MP3s on a central server and just reference them from various other devices (Tivo, my Redio cabinet, my Mame cab and my workstation).
Works great for Music. I use Wireless N 300Mbps networking gear.
I'm not sure how mame would fair streaming the games over wireless though (ie keep all your Mame config and stuff local, but keep the games, vids, snaps etc, remote.