for mplayer with no audio output do,

mplayer -ao null thebestmovie.avi

to permanently not use audio with mplayer you can
edit config (its just a text file) in the conf dir of your mplayer installation, and add,

ao=null

now you can just do mplayer thebestmovie.avi and no audio is used

for mame i didnt think there was any magic involved other that copying rom files to your rom directory and
select it from the gui