MAME
MAME is a command-line based program. That means that it is designed to be run from a command prompt (C:\). For general game-playing, I prefer to point-and-click, so I use EmuLoader.

EmuLoader is a really cool frontend for MAME. You can control all possible MAME settings from within the frontend. You can add custom settings to individual games, sort on various criteria, etc.

Another nice function is if you download all of the in-game snapshots for all of the supported games, you can use your frontend to see if that game that you can't remember the name of is currently supported by MAME just by going through the game list. I've actually found a couple games this way.

Links to EmuLoader and a few other cool MAME frontends can be found at the main MAME page.

EMULoader Emul Options