Umm dos is bad, umk. You'll never hear me admit this again but linux is 2 steps forward while dos is 3 steps back.
When your using a difficult os to run your setup, (Dos,Linux) the question you have to ask yourself is does this unfriendly os give you any benefits for your sacrifice. In linux's case there are a million things going for it, including all of the things lilwolf mentioned. Dos on the other hand only limits you. With the exception of a bit of ram overhead, windows doesn't take anything from your system resources when running mame. What you get with windows is the added benefits of hardware stretching, hardware acceleration, (Dos support is kinda iffy on most cards.) and the ability to play all of those great windows only emus, not to mention jukeboxes, video players,and anything else you can think of. Dos is cumbersome, has bad memory allocation, bad hardware support, and a very limited number of gui-ed apps for it.
Just my opinion and something to think about. Btw unless you live under a rock it's not that hard to get a "trial" version of windows. ;-)