For MAME, as long as you specify your paths in mame.ini (as stuzza says), and use the 'Verifysets' List Gen. Method, then multiple paths will work.
For other emulators, you're stuck with 1 path for the moment 
I am using Mame. The paths are specified (and tested working) in mame.ini. The 'VerifySets' has been selected. Go to 'Refresh Games List' and nothing happens. Heck, it doesn't even generate an 'EMU1.LST' file when I do that.
I'm obviously missing something, I'm just not sure what.
Edit: is this for versions BEFORE the xml? I'm using .84u5 and it does not seem to want to run the -listxml command.