That controller Loin posted is actually very good for FPS games. But for arcade style sport games, racing, and platform adventures, nothing beats the Thrustmaster Dual Shock II. The other contenders where Gravis, Logitech, and Microsoft, but they were not nearly as good overall.
Thrustmaster site Moose I did a lot of research on this subject a few weeks ago and decided on this one, and trust me, its awesome. The only downside is that few games support the force feedback feature, but that is just a gimmick.
The controller is extremely comfortable, it fits my hands perfectly. All 12 buttons can be reached naturally without any effort (unlike the Xbox controller). The two analog joysticks are VERY accurate and precise, I dare say each one even more precise than my X-36 joystick. They are both covered with a rubbery material that wont slip (even on those wings & beer gamins sessions

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There is also a wireless version without force feedback, should be similar otherwise.
I payed $35 for this one at Gamestop/Babagge's. The non-forcefeedback version should go for around $10 less. The only force feedback game I have played so far is Need for Speed 2: Hot Pursuit 2, and its worth it for that game alone.
Here are two pics I took of it on my desk. I tried to take them with me holding it, but its hard to operate a camera with your mouth.

So far the drivers work perfectly under Windows XP and Windows 98 SE. There is also programing software to emulate keyboard and mouse functions, but I never needed it because most newer games recognize it as a DX controller and allow you to assign functions just like you would with a control in a console.