Are you talking about the official builds?
If your running pure dos, then mamed.exe
otherwise use mame.exe
As for 3rd party builds. The are all for their specific purposes. Mame32 has a frontend built in. Analog Mame gives better support for multiple mice, steering wheels ect. Then many of the others add autofire and other special little things.
I wouldn't recommend any of them unless you have a very specific need.