There's really no reason to have one unless you really want that "authenticity" aspect of a MAME cab (and as Ken said, not all original arcade games had them anyway), or just want a way of your own to know approx how many games have been played on your machine (or credits used anyway). There are also software counters out there.
If you get one, just do a search in this forum on "coin counter" and it'll return several threads. I just got done wiring one up (the cabinet I bought for MAME had one already so I decided to wire it in) and the results of what I did are posted in another thread that'll turn in the "coin counter" search. Mine was 12 V and as far as I could find from my own searches was the first time anybody posted any detailed info on getting a 12 V counter to work with a 5 V based system like an I-Pac (which is what I have).
If you buy a coin counter, just buy a 5 V one and it'll be a lot easier to wire up.