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After you go through all the trouble to download and install MAME, and download particular ROMs that you want to play with, it's important to enjoy the experience of MAME and play each game as closely to the way it was designed to be played as possible. Unless you have no alternative, a keyboard will never do. It's awkward if you've never practiced playing a game with one before, and there is a limitation as to how many keys may be pressed down simultaneously, which can interfere with your experience. A simple solution is to buy a USB joypad for your computer. At least that's a step up from a keyboard. But if you really want to experience true arcade-like controls, you have two options: You can build your own, or you can buy one of the increasingly popular commercial options available.
If you are confident with your construction skills, you may consider making your own arcade style controller. If you do, one piece of hardware to strongly consider is a keyboard encoder. But you don't want any standard encoder, or you will most likely run against they same simultaneous key press limitation that exists on a regular keyboard. One excellent alternative (and highly recommended by the forum members at BYOAC) is Ultimarc's I-Pac and it's analog control cousin, the OptiPac. I-Pacs are sold in two player and four player varieties. Find out more at ultimarc.com
Another alternative is Groovy Game Gear. Often referred to as GGG and also highly recommended by the forum members at BYOAC. Groovy Game Gear has several interface cards available. There is the keyboard interface KeyWiz, it's game pad sibling the GPWiz and the analog control cousin is the OptiWiz. GGG also has all your needs for lighting up your control panel. Anything from the Electric ICE buttons with the optional RGB LED driver boards to the Electric ICE-T trackball to other lit button styles. And to control all your LEDs GGG has the LEDWiz. Find out more at groovygamegear.com
The fact is, many great arcade-style joysticks have been made for great consoles in the past, such as the SNES, Dreamcast, and PlayStation. And they cost substantially less than options mentioned above. So you may choose instead to invest in one of many USB adapters available. A USB adapter plugs in to your PC and accepts controller inputs from another console. The most common USB adapters on the market today tend to be for PlayStation controllers, but it doesn't take a lot of searching to find adapters for other systems. Typically, they are inexpensive (under $50), offer immediate plug and play support (no need for additional drivers), and sometimes they offer multiple inputs for more than one player, or even support more than one console's style of controllers. For more information, start by searching on Lik-Sang, Play-Asia, NCSX or even eBay.
If you are one of the ultimate MAME fans who insists on experiencing your arcade memories as close to authentically as possible, then you may want to consider joining the legions of MAME fans who have built a "MAME-cab." As the name implies, this is a structure that resembles an arcade cabinet in every way (and are sometimes started by gutting a real arcade cabinet), but houses a computer inside capable of running MAME. The controls on the panel, and the monitor (either an original arcade monitor with a special connection, or a replacement PC monitor) are connected to the PC so that when the player plays a game in MAME, it looks as close to the original arcade environment as possible. People go to varying lengths to recreate this illusion.
To many people, this seems like a very insurmountable task. But the members of Build Your Own Arcade Controls, and its very active forum are proof that people with even the smallest construction or carpentry experience can make very impressive cabinets and controls. The BYOAC site is definitely worth a visit, and you can even purchase the book that has been published by site founder John St Clair, known as 'Saint' on the BYOAC forums. You can purchase his book here. John designed his book to help hopeful arcade cabinet builders with every detail of the project. BYOAC also has their own Wiki site similar to this one, which can be found here.