Most of the "features" I add to my custom build are source patches.
I add some of Alan's tweaks, including "Skip startup frames" and "Skip Warnings".
http://home.earthlink.net/~alank2/mame/The pause message, that is also in Powermame,
that I wrote ages ago.I also disable high scores when the LOAD key is pressed - because I mount my nvram and hi directories off a webserver with all my friends. This makes it harder for one of us to cheat using the save/load method.

I also have a patch for one button save/pause. Normally you have to hit the save key then a "store location" button". This way I only have one "store location" but I don't have to hit multiple keys. My control panel has a dedicated "Save" button and a dedicated "Load" button.
I also add in network support, that lets me play two player joust with my friend's arcade cabinet across the state.
I also base my build off of another MAME derivative that adds all sorts of other features, including (but not limited to):
Video recording
Command.dat support
I think that's it.
Joseph Elwell.