There's absolutely no reason to use XP mode. You are literally emulating another PC that runs XP; it runs a full XP installation inside of a VirtualPC session, and will slow things down considerably.
The general consensus is that x64 builds of MAME are faster than their 32-bit counterparts. Since x64 driver support for XP is rather lacking, Vista or 7 x64 are your best bets. I'm running Vista x64 without any problems, but if I was starting from scratch now, I'd use 7. I haven't come across any emulators that won't run on x64.
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