Yeah MAME is great (and I've actually played through Space Harrier on MAME, it's only like 15 minutes long ha ha ha) but there's nothing like playing on real hardware on a CRT for a true zero lag experience.
Playing a game on a modern platform (including MAME running on a PC) adds about 100ms of latency, minimum. That's not a ton of latency, and games can still be plenty fun, but it's on the threshold of being noticeable and even if we're not conscious of that input lag, it's just not the game as that "I'm wired directly into the machine" feeling of a true zero latency setup.
Playing a game on a modern platform (including MAME running on a PC) adds about 100ms of latency, minimum. That's not a ton of latency, and games can still be plenty fun, but it's on the threshold of being noticeable and even if we're not conscious of that input lag, it's just not the game as that "I'm wired directly into the machine" feeling of a true zero latency setup.
http://renderingpipeline.com/2013/09/measuring-input-latency...
(of course, even in an all-analog setup, there can be latency, but not on the order of 100ms. at least not on the hardware side of things)