I could have sworn MAME works with them unzipped. It's just a big waste of space though.
M.A.M.E. does work with unzipped ROMs, but the ROMs must still be place in folders within the ROMS directory that are labeled the same as ROM set zip would be.
So instread of having .\Mame\Roms\1942.zip you have a .\Mame\Roms\1942\
Extracting all the zips may infact slow your system down, because instead of the file system on your hard drive having to store index infromation for just under 7,000 files, it would have to store information for almost 100,000 files and 7,000 directories.
ROM sets containing large ROM load quicker if they are not Zipped, the difference in load time is too small to notice for most ROM sets.
I store all ROM sets with CHD, unzipped in folders containing both the ROMs and CHDs, all other ROM sets are stored as Zips.