Last August I took the plunge and decided to build my own custom MAME arcade cabinet. See my build thread here. I wanted to use this as a learning experience in woodworking. Here are a few things I learned building off of the plan posted at Arcadecab.com
Have a Plan
Building a MAME cab is a big undertaking and it's best to start with a clear goal. Not trying to tackle everything is a good thing. The best thing to plan ahead is your control panel and what buttons you want. Next, decide which monitor you're going to use. The machine will be built around that monitor, so don't make that decision lightly.
See What Others Do
Browse the ArcadeControls project threads for ideas, inspiration, and motivation.
Know a Little Electronics
Undoubtedly you're going to need to wire your control panel up. You also might want to do a power inlet or other creative electrical innovations. Asking questions on forums or doing a bit of research will help out here a lot.
Know How to Build a PC
Your MAME machine will run on a PC, so be sure you know how to build one. Knowing how much space you need depends on how many games you're going to run. a 1TB drive can fill up surprisingly fast on a big multicade.
Find a Frontend
Popular frontend software includes MALA and Hyperspin, and a plethora of others. Know which one you want to use and start setting it up early. Before you know it the cabinet will be built and you won't have software to run.
Know Something About Woodworking
I have a handy dad, so any woodworking questions I brought to him. If you know a little bit, do some research before building an actual cabinet. Alternatively you could buy an old cabinet and make it nice again, but it's not as fun!
Know How to Paint
Inevitably you're going to need to paint something on an arcade project, so know about primer, paints, and how to get a decent finish.