I tried the same experiment, but now I'm back to basically a "stripped" version of Windows XP. By stripped I mean I ran MSCONFIG and shut off all the unnecessary junk, shut off System Restore as well as running SERVICES.MSC and shutting off the unneeded services.
Like you, I was an experienced PC/Windows guy, but a Linux newbie, and I had a heck of a time with Linux drivers in Mandrake 9. The hardware that was in the machine when I installed worked, but trying to add anything or update drivers was an exercise in frustration. Stupid 5 minute Windows stuff like upgrading a PS-2 ball mouse with a USB optical mouse was a 3 hour ordeal. I could also never get the beta Linux drivers from NVidia to install right. This wouldn't really affect MAME, but I wanted to upgrade them because the OpenGL apps I was messing with were super slow with the Linux drivers.
The performance gain from XP to Linux on the machine I was testing on (P3/933) was exactly *NOTHING*. No faster, no more stable, nothing.
It was a waste of time, other than as a learning exercise, and one of the things I learned is that Mandrake takes about 3 times as long to boot or shutdown as XP.
If you want to do it as a learning experiment, I'd suggest doing a dual boot. You have to create a separate partition, but I know Mandrake will co-exist peacefully with Windows if you install it on a Windows machine. That way you aren't trapping yourself into using one OS if you start getting frustrated.