The 0.66b release seems to be screwed up, any release images built from a totally clean download produce a binary which is unable to load any ROMs. This has been verified by all of the developers, and I apologize for the screwup.
0.67b will go out as soon as we get everything working again (it's turning out to be somewhat difficult). In the meantime there is a workaround for anybody really eager to screw w/ 0.66b. You can disable optimization for the MAME library, which seems to make everything work (though slowly and with some extra cost size-wise).