I still use and love:
Thustmaster F-16 FLCS, gameport-based
Thrustmaster WCS-MkII Throttle, gameport-based
CH Pedals, non-pro, gameport-based
All work just great in Windows XP and even Vista, thanks to some hacked up Vista gameport drivers.
The only real hiccup is that you need still DOS or Win98 to reprogram the sticks, but I can do that with either a boot-floppy, a boot-USB stick, my Win98 hard drive partition, or Win98 running under VMWare workstation. Even so, I haven't had to preprogram the stick in two years, when I got a Track-IR...
For more info on getting old Thrustmaster hardware working in XP and Vista, check out
The Book of Thrustmaster: Windows Vista and XP Edition, which was written by yours truly.
-Llama