from what i have read, getting lightguns workign in mame can be a chore...especially when you want two of them. as for the other things, those are easy. if you look around the net, you can find USB dance mats, or you can always use ps2/xbox mats with controller adapters.
as for the guitars, there is a PC guitar hero controller. also, if you get a wired guitar for the xbox 360, it is USB also. i have also used PS2 guitars with a controller to usb adapter. i have not used them with any mame games, but i used them with frets on fire and they worked fine. they show up in windows as a joystick/gamepad, so they should be easy to get working in MAME.