There are lots of arcade games that aren't fully playable in MAME.
DICE emulator plays the old discrete games (ones that have no roms or processors).
Zinc emulator will run the 3D playstation based arcade games if your processor isn't fast enough to run them in MAME. (Tekken series)
El Semi's Model 2 Emulator plays games that ran on the Sega Model 2 system (Daytona USA, Virtua Fighter 2, etc)
Supermodel plays Model 3 games (Daytona USA 2, Star Wars Trilogy, Virtua Fighter 3)
Demul plays NAOMI, Atomiswave, & Gaelco 3D games if you have a good enough processor and video card. (Marvel Vs Capcom 2, Dead or Alive Millenium, etc)
Then you have the Taito Type X games which don't require an emulator. They were arcade games that originally ran on an embedded Windows XP machine and have been hacked to run on a standard PC.
Most of these are a lot more complicated to set up than MAME.

Should be tutorials on the GameEx forums though.