More than likely you may be missing BIOS files that many MAME games use. For example, if you see any NeoGeo games such as Metal Slug, King of Fighters, and may others use the NeoGeo bios files in a zip file and it should be placed in the same directory as the rom files.
Also you may have a clone of the original game in which some of the files have changed from the original. If thats the case, then many times, these clones do not include all the rom files from the original. You would need the original or what they call the Parent file and then if you had a clone as well, it would work since you have the parent as well.
A good place to check your roms your roms is to go to MAWS -
http://www.mameworld.net/maws/Near the bottom of each game is a list in the 'data' section that shows every file that that game needs. So open your zip file and compare what you have to what is needed.
Its really late, Im really tired and Im sure someone else could prolly make better sense than me, but good luck in any event
