I've built a couple of machines for myself and will soon be selling a few as I have surplus materials. I agree, MAME-ing is great fun, I certainly learnt a lot and found it very rewarding too. However, in hindsight, I would say, on the whole, I much prefer original arcade gaming. I think it is personal preference though. My main reason for preferring it may sound ludicrous to some but I know there are other people like me. I just find that MAME swamps you in games and you never really get to play any of them properly as you are literally too spoilt for choice. With originals, the cost and the changing of boards makes you stick with games and get the most out of them. Also, I'm a total sucker for authenticity!
Also, some games just won't run that well on MAME - give it time and I'm sure they will but you'll need a fairly power hungry computer if you're venturing into 3D arcade gaming. Also, MAME is missing some games... I know most people probably don't care but Mushihime-Tama isn't emulated yet and I friggin love that game!
Overall, the positives far out way the negatives and as said before, definitely personal preference. I will always dabble in MAME but for me PCBs are where it's at!