1) You need compatible Roms that are built for the same MAME version.
2) SOME roms need CHDs
3) MOST games that use CHDs require ALOT of CPU power to run. For example, my 4.52GHz cpu
barely runs Gauntlet Legends.
4) The Parent Rom holds all the ROM information, the US/JAP/etc version holds just "some" information to modify the game (usually disclaimers). You always need the parent rom, or at least the rom files.
5) BIOS, many (all?) of the roms use a separate BIOS file and will not run without it.
6) Tons of games have a preliminary or imperfect driver status, basically meaning they don't work.
Take a look at this site:
http://maws.mameworld.info/maws/If a game is not working. take a look on that site, it will tell you if it's a clone (meaning it needs a parent), needs a CHD, BIOS, if it works at all, etc...
Very useful site.