Those of you who regularly build their own MAME binaries on Windows will want to head over to the Development Tools page and follow the directions there to grab the latest set of tools. This set of tools contains the latest officially released mingw toolset, along with a set of patched files that fixes the problems they have been having under Vista. This means that you can now build MAME on a Vista machine just like on any other machine — no more hacks required (in fact, if you have the existing workarounds enabled, you need to remove them; in particular the GCC_EXEC_PREFIX environment variable should be eliminated).
A side effect of this upgrade is that the official base compiler for the Windows builds is now gcc 3.4.5 instead of 3.4.2. This isn't a big change, but it is worth noting. Hopefully the mingw folks will eventually get around to releasing a 4.x build of gcc sometime in the not-too-distant future, but I'm not holding my breath. A toolchain that supports 64-bit compilation under Windows would also be nice, but let's not get carried away here.
Finally, the pre-packaged toolset now contains the SDL headers and libraries, so you can build SDLMAME for Windows out of the box.