Just a note, if you want to play some of those games, like gauntlet legends/dark legacy, and you are CPU limited, you might want to try an older build of mame. I posted something on this a while back that the older versions (.0145-9 or so) seem to run those about 20-30% faster on the systems I tested than the latest builds.
Currently, Intel seems to have the better CPUs for MAME. I don't really think that overclocking the latest generation is all that great, so I can't say I'd bother spending the extra money for an overclockable version. But, if you have the money and are willing to spend it for one, then you should be able to get a few more cycles out of one to help with the more demanding games.