Not everything in Mame works so some roms won't work even when everything is set up correctly.
A number of systems in Mame also require a bios rom, non of the games on a particular hardware set that requires a bios will work without the bios rom in the rom folder, for example all NeoGeo games require the rom neogeo.zip to be present in the Mame/roms folder for any of them to work.
Mame also uses a parent/clone system. Lots of arcade games had multiple versions and revisions released, what mame does is use a single rom (the parent) that contains all the common data and all the other versions of that game (clones) just contain the small amounts of variable data. You must have the parent rom for any given game in order for all the other versions to work. If you're using Mame32/MameUI you'll notice on the games menu there is a column called 'cloneof'. If a game has a romname entered in the cloneof column then that romname is the parent rom. If there is no romname in the cloneof column then that game
is the parent rom. So for example if the (US) version of a game is listed as the parent, then the EU, Asian and any other versions won't work if you haven't got the US rom in your rom folder.
Finally the roms you have must be compatible with the Mame version you're using. Most sources for mame roms will specify which version number of mame they are designed to work with.
As far as alternative menu's for other emulators, a good method is to use a multi-emulator front-end. This basically allows you to have different backgrounds and lists for each emulator and launches the emulator and game with the click of a button.
Some to try out are Mamewah, Mala, GameEx, and Maximus. At some point in the future you might want to look at something a little more advanced like Hyperspin.
Some example pics of my setup with mamewah (I also use it on my cab).