Mame (xmame and probably all derivatives and gui-interfaces) has support to some .dat files containing extra information for each emulated game. The available datafiles are: cheat.dat, hiscore.dat, history.dat, mameinfo.dat.
I suggest the creation of a new ebuild called "mame-extras" or "mame-dat" that should download and install these files. Then, all mame ebuilds (xmame, gxmame, advancemame, ...) should (optionally?) depend on this one (and set default config files to point to place where these datafiles were installed).
This way Gentoo will provide the best Mame experience with little trouble for users.
Note: each data file is available on a different site, and sometimes there are more than one version available (each site has its own version). For this exact reason I think an ebuild would make the life of users a lot easier.
If this is still relevant, we would need info about specifically which files and from where.