xmame IS mame, just with X interfaces. It even maintains the same release numbers; the changelogs invariably start with "everything from MAME version x.xx"
XMame and XMess are both fine emulators. If you want to host tons of other emulators, make a good inventory of what doesn't work under Linux (Visual Pinball, for example, if you're into that). Also, some front-ends are Windows only, if that matters to you.
A good Linux installation and AdvanceMame (from what I've heard) is a great combination. Yes, there is a touch more overhead than, say, DOS, but I think even just from a system maintenance perspective it would be preferable to use Linux. I just use xmame.x11 myself, and it works wonderfully (and even supports multiple trackballs under X).
Having said that, XP's quite usable as well. Matter of taste more than anything, really. I use Linux and X because my emulator box is also my home theater PC (and I wuv Linux...), but both would be good choices.
-->VPutz