A big heads-up for anyone using iOS. iMAME has just been released on iPhone & iPad for free. Comes with a few free games but apparently you can load your own .zip's on it too with a 3rd party utility like iExplorer without jailbreaking.
There's a good chance it'll get pulled from the app store soon, so grab it while you can:
http://itunes.apple.com/us/app/imame/id485639079?mt=8