MAME emulates about 1500 unique games and several thousand clones. Basically the program is the windows of emulation: it's multi-purpose, every single game kind of loads on top of everything else (ie it's sort of like a core program, and the mamedev team submit drivers to add games to it, so it's cluttered), and consequently, it's also the least optimized emulator.
It basically emulates all old games excluding the ones with discreet circuitry/no roms to dump and/or cpu to emulate (for example, pong and monaco GP). It emulates most not-so old games, except the ones with protection that isn't cracked (most of it is though - CPS2 was encrypted, Konami-GX was encrypted, both are in MAME now). Basically what it does not emulate very well is stuff you'd still find in an arcade - almost anything 3D or high level 2D. So no DDR (although something, possibly MAME, supports beatmania because I've seen screenshots of it being emulated!), no Daytona, no Tekken (although I'd say tekken is not far off). What it does emulate that's newer is NeoGeo stuff, several taiwanese games and a few oddities like Point Blank.
Games like Metal Slug (any version) use a lot of memory in any emulator. Even if the GP32 could load them (which it couldn't cos' I think the smallest one is about 13 meg zipped?), MAME would be the absolute worst emulator to use for this. It's unoptimized like hell. A GP32 would choke. To put it in perspective, I have an old P166 MMX laptop with about 8mb RAM. If I run NeoGeo on MAME on that, it'll take several minutes to load. Hell, even if I load an old game like Gradius, it's choppy as hell!
MAME is practically impossible to get working decently on GP32, but I'm not going to say it's impossible. Someone just has to optimize the hell out of it...ultimately though, I think the short term answer is single game (or single hardware) arcade emulators. Anyone who was around before MAME will remember how awesome those can be...