It all depends on a few things.
If you are going to be using it as a desktop PC as well as run MAME and you want to be able to play other PC games then I'd get a separate gfx card. For stuff like SSF4:AE a Radeon HD 4850 will serve you well and is pretty cheap now. Keep in mind though your gfx card won't help you get more FPS in any MAME game unless you are using HLSL.
If you plan to put the PC in a cab and have a low res CRT monitor then you should really be looking at groovymame and then you will need a Radeon as it only works with them. Windows 7 is out too since it won't work with that. XP64 is your best bet.
As far as overclocking goes, if you can then do it. 3D games in MAME are extremely power hungry so I'd squeeze every last drop of power out of your CPU if you can. Multiple cores are supported by MAME but don't, in my experience, give much of a performance boost.
Everyone's milage varys anyway so see what works best for you.