Auto frame skip does help if you're using an older machine.
Depends on the game. The games it helps are able to skip emulating drawing the screen to the montior. The games is doesn't help have to render the screen to emulate the game without crashing, whether or not the screen is shown or not; so when mame tries to speed up the game by skipping frames it doesn't work, so mame skips more screens, which doesn't work, and so on.
That said,
autoframeskip helps most games. More details and most of the relevant games can be found in the
MameFAQ i08.