ROMs are required by MacMAME in order to actually be able to play they games. They contain the program and graphics data for each game. However, they are not free. You must own or have license to each ROM set that you wish to use in MAME. The catch is this - most companies won't sell you ROMs or provide a means for you to purchase them. In fact, about the only way you can own them is by owning the original arcade boards. Worse still, even if you own the arcade boards, there is the problem of being able to dump the ROM images.
Note that the MAME team does not condone the use of illegally-gotten ROMs. If you are looking to purchase them, please visit StarROMS.