Some arcade machines use a Harddrive to store the games, rather than rom chips, and the CHD files are how MAME stores these games to run via emulation. Most of the games that are CHD based require a lot of CPU power to emulate them and no current PC can run most of them at full speed, so basically unless you really want a complete set of games for MAME it isn't worth download the CHD files at the moment. The MAME project is also working on adding the laserdisc arcade games to the project and will also be using the CHD format to store the ISO images of the original laserdiscs (unlike Daphne which uses MPEG rips from the original discs). So in future the CHD set will be worth getting, but not at the moment.

As DC said, just download the main MAME set from Pleasuredome. You will need to join the site first so you are a member before you can access the torrent, but it is worth it. The only other thing you will need to MAMEUI (new name for MAME32) which you can find at http://mameui.classicgaming.gamespy.com/