I'm not sure if it's legal in your countries, but you can often buy a complete set of MAME ROMs, where you pay for duplication but not for the ROMs themselves. And you won't get the MAME emulator on the discs. I'm not advocating this in any way, but that's for the man that must have it all. There's also many legal ROMs out there, as VanB said.
And it's not a matter of just looking at the ZIP file names, as they're often not descriptive enough. There's places you can go where you can download a list of the ZIPs next to their full name, and all their details etc. I believe it's a large XML doc. That's what you need to use to lookup.
I also noticed that Twin Galaxies are allowing people to record their games using the built-in MAME recorder for submission to be entered on the official high score list. There are quite a few games that I can get onto the scoreboard for!
http://www.twingalaxies.com