Hi mate,
I went to my mate's house the other night and tried to introduce him to MAME - we had a similar problem. It was playing like there was another program running in the background.
We were using MAME 0.118, and ruled out everything from anti-virus programs to overheating. We ran a couple of demanding games like Half Life 2 with not a stutter in sight. We were pulling our hair out at this point.
We then updated his graphics card drivers (ATI) and sound card (Creative Labs), rebooted, and it worked a charm.
So yeah, if you're running a new(ish) version of MAME, try updating your drivers.