I'm somewhat new with the Linux stuff, too, so hopefully someone can suggest some more advanced/specific speedups.
As root, if you run drakxservices, you'll find a list of the daemons that are always running, and you can shut them off. I may be crazy and this statement is NOT qualified with any concrete facts, but from what I've seen, running lots of services (daemons) under Linux doesn't seem to have the same devastating effect on system performance that you see with Windows. Then again, perhaps I'm blinded by love for Linux, who knows...
Here's one example of what I'm sort of talking about. Gnome is supposed to be the fattest hogs as far as Linux desktop managers are concerned. I mentioned somewhere that I thought I could speed Mame up by using a lighter desktop manager. Someone dared me to put my money where my mouth was, so I installed some desktop manager that is supposed to be one of the lightest. Mame ran at exactly the same speed under either one, which took me by suprise.
From what I gather, a more effective means of speeding up a Linux box would probably be to build your own kernel and only compile in the drivers and pieces that you need. I haven't taken that scary step myself, though. I believe that one of the reasons that Mandrake was pretty easy to set up is because they load the kernel with drivers and stuff for everyman.
Oh, yeah, and of course another massive speedup would be to not use a desktop manager at all, and run Mame from a console. I HAVE tried this and it IS substantially faster (I forget, maybe 20-25% faster). You can run mame under a console using svgalib, and I think that the new hype is something called "fb" or "frame buffer" which is supposed to put svgalib to shame. (This has been discussed extensively on the AdvanceMame forums recently). I think I read that the kernel that comes with Mandrake 10.0 is the first Mandrake to support the frame buffer, at least as far as AdvanceMame is concerned.