left ctrl won't bother anything, so leave it as-is
Actually Control (P1B1)-Enter (P3B3) screwed me up a couple times when it caused MAME to go into "windowed mode".
After reading this thread, I got concerned about my own key assignments, and decided to test some things out.
First off - If you are using a modern MAME build (post- 0.62 or so), I am pretty sure the Windows Ctrl and Alt combinations are handled/disabled by the C:\mame\ctlr\windows.ini file that ships with MAME. Not sure how they do it, but it seems to work, and I trust the MAME devs to know what they are doing.
The Window Mode glitch that Screaming mentioned is a potential problem, but the default is Alt-Enter. I didn't see a ctrlr.ini file option for this, but it was easy enough to go into Tab-Inputs all games and set the last entry "Windowed Mode" or some such to None. Easier than re-mapping all my MAME games to avoid Left Alt, although that would be pretty simple as well.
I use an ATI vid card, and in the driver, I found that I had not set a hotkey for screen rotation.
Most hot-keys should only work with the associated program active, but it's a valid point that you should disable them for drivers and programs that TSR (Terminate and Stay Resident) (the systray stuff).
In summary, I found no reason to stray from the defaults.