Well, the obvious questions:
1. Have you read the instructions?
2. What version of MAME OS X are we talking about?
3. Are the ROMs coming up as good when you run an audit?
4. Is there anything in the log (launch Console, select File->Open and look for MAME OS X in ~/Library/Logs/Crash Reporter)?
Hopefully in the course of this you will resolve the issue yourself or at least give us something to go on in figuring out your issue.
Cheers,
Sean