Your processor (I'm guessing a Phenom) has two memory controllers on the CPU. Ganged is setting both memory controllers to work together which allows data (that is being used by all cores) to await on the queue until they are accessed. Unganging means that the two controllers work independently. This allows them to work asynchronously with reference to individual clocks with their one or two Dimms.
For example, if you have DDR2 800 memory and you leave your bus speed at the default 200mhz and run in ganged mode you will have your memory running at its intended 800mhz. But if you overclock the bus speed to, say, 220mhz, and leave your memory ganged then your memory will now be running at 880mhz which likely will make it less stable and open your system up to crashes. But if you have your memory unganged you can lower the memory multiplier from 4 to, say, 3.33 and your memory will now be running at 666mhz, which is slower than its intended speed but more stable.
Anyway, this should give you a good idea. Basically, if you're not overclocking your PC and you're leaving your bus speed at its default then keep it at ganged. The main exception to this is if you have a quad-core, in which case unganged will typically give you better memory performance. If you're overclocking you'll most likely want unganged since you may want to overclock your bus, and thus your processor, without overclocking your RAM.
As for MAME performance, I'll doubt you'll see a substantial difference in speed between the two since MAME really is tied to raw clock speed more than anything else.