For certain games to run on MAME, you need something called a CHD file. It is like a little hard drive but for arcade games. Usually you can find them in the same place you find your arcade roms. It is also usually in a multi-part RAR file. I made this list so that if you are wondering why a certain MAME game won't run, a CHD is probably needed. Look at this list. If you see the game's name on here, chances are that you need to download a CHD file. I don't know how do make it run. That's my friend's specialty.

You know when a game needs it when if you look up the directories for MAME, look under CHD, it'll tell you the games that need them:

Here are the following games that need CHD files along with the rom:

Killer Instinct
Killer Instinct 2
Area 51
Beat The Champ
All the "Beatmania" games
BioFreaks
California Speed
CarnEvil
Cart Fury
Crypt Killer
Dead Eye
Gauntlet: Dark Legacy
Gauntlet Legends
Hyper Athlete
Hyper Drive
JoJo's Bizarre Adventure
JoJo's Venture
Judge Dredd
Mace: The Dark Age
Maximum Force
Nagano Winter Olympics
NBA Showtime/NFL Blitz 2000
NBA Showtime: NBA on NBC
NFL Blitz
NFL Blitz '99
NFL Blitz 2000 Gold Edition
Powerful Baseball '96
Primal Rage 2
Quiz Do Re Me Fa Grand Prix
Quiz Do Re Me Fa Grand Prix 2
Road Burners
San Francisco Rush
San Francisco Rush: 2049
San Francisco Rush: The Rock
Simpsons Bowling
Sport Fishing 2
Street Fighter III: New Generation
Street Fighter III: 2nd Impact
Street Fighter III: 3rd Strike
Susume! Taisen Puzzle-Dama
Tenth Degree
Vapor TRX
Vicious Circle
War Gods
War: The Final Assault
Warzard
Wayne Gretzky's 3D Hockey
Wedding Rhapsody

This list is based off of MAME 0.96. It may change.