1) Skyboxes and spheres are really easy, have you looked at any of the fps tutorials? They usually have one...Just make a really big sphere, but make sure its radius is less than the camera view distance, and texture it. Make sure culling is off. Now position it at the camera's position every loop. Having fog that is the same color as the bottom of the skysphere makes it look nice...
2) A pad for less than 40? At Best Buy you can get a $15 pad. I bought the $20 Logitech Dual Action though. More compatible than the generic ones...
Here is a Saitek P3000 on Amazon ($34):
http://www.amazon.co.uk/exec/obidos/ASIN/B000075B5W/202-7570780-9035050
Here is a Logitech Wingman, wireless version (various $):
http://www.bizrate.com/marketplace/search/search__cat_id--492,prod_id--6388631.html
Will those suffice?
Xander Moser - Bolt Software - Firewall
