Don't use gentoo if your going to install the binary packages. use Debian.
And don't use gentoo too compile either, the improvements are negligable (you WON'T see a difference trust me).
Slackware may be nice but debian's package system macks it very convienient. install the base system, bare minimum, and then slowly apt-get each package you need. I would still recommend compiling xmame yourself for the latest version. Oh and don't run stable, use testing or unstable. the the latest stable is woefully out of date, and the current testing is starting the freeze for a new stable as we speak.
I've run Debian for years, and until recently I even had a machine that ahad run Debian for about 7 years and NEVER needed a re-install just periodic "apt-get dist-upgrades" I don't think you'll find another distro that can make that claim.
Recently I switch a machine to gentoo to see what the fuss was about. I was NOT impressed. basically it ran into upgrade troubles frequently, and coming from years of never having a problem I didn't cause on Debian was a pain, plus I benchmarked no speed improvement at all. Needless to say I am back to an all Debian man now. Thats 6 machines running debian that I maintain and use. and of course I am stilling learning better ways to do things each day
Of course I would definately recomend GNU/Linux for anything MAME I benchmark a 10-15% speed increase between mame and xmame on my home desktop. that makes a lot of games playable on GNU/Linux that aren't so on Windows.
just my 2 cents.