I have an embarrassment of controllers... Xbox 360, hacked up original Xbox, Logitech steering wheel, thrustmaster steering wheel, Saitek cyborg joystick, arcade stick, double Sanwa joystick unit, and a selection of disappointing PC joypads.
The most useful controller I've found though, is just a wired 360 controller - it's actually becoming the standard controller for PC's - some games even support it right off the bat. For retro games with digital controls though, nothing beats the Sanwa arcade joysticks, which is expensive but the only way to play 2D fighters like SF2.

Health, Ammo, and bacon and eggs!
