yeah, I just found this out myself not to long ago. Get the files from
http://www.mame.net/ like paigeoliver explained. They have a bunch of sound samples for games with missing sounds... you just download the zip files and put them in your SAMPLES folder in your MAME directory and that's all there is to it. There's also artwork files for games with missing artwork. You do the same for those but put them in your ARTWORK folder. It's so much more fun playing the games with sound and all the original artwork.