I have one of these that I've used forever, a Logitech Precision USB. If you just need a digital d-pad and don't care about analog sticks or triggers, it's great.

http://commons.wikimedia.org/wiki/File:Logitech-gamepad.JPG

Although I've started seeing compatibility problems recently: the Xbox 360 controller has become such a standard that some newer indie games support ONLY them and not native PC gamepads.