It really depends on what you want to play.
#2D Fighting Games or 2D Platformers
Out of the modern mainstream controllers, the original X360 controller is by far the worst for 2D fighting.
There's an updated version with the so-called "D-Transform Pad" which tries to mimic a proper D-Pad - it's not great by any means, but it's a noticeable improvement.
http://www.amazon.com/Xbox-360-Wireless-Controller-Camouflage/dp/B00CXTX2YW If you already got the X360 controller, you can mod the controller yourself with this -
http://www.dx.com/p/replacement-rotating-transforming-chrom-plated-d-pad-button-for-xbox-360-slim-black-grey-236573 (which I did and works very well)
You can also get one of the following controllers:
- Buffalo Classic USB Controller: either the Famicom or Super Famicom shapped. They are cheap, great build quality and feels almost like the original Nintendo controllers (much better than the Retrolink controllers)
You can get them on eBay.
http://buffalo.jp/product/input/gamepad/bsgp801/
http://buffalo.jp/product/input/gamepad/bgcfc801/
- Play SEGA: these are cheap controllers were distributed by SEGA Europe, you'd get one free if you sign up for their online emulation platform. Although they look like the Saturn pads, the built quality is poor compared to the original Saturn ones. But they get the work done.
http://segaretro.org/PlaySEGA Also, look for them on eBay.
#3D Action Games
- You can use the X360 as mentioned and even knock-offs receivers work.
http://www.dx.com/p/x-box360-xbox360-handle-receivers-computer-receiver-413231 - The XBox One controller is another plug'n'play controller - I don't think the higher price tag is worth over the X360 pad
- It's possible to play using the PlayStation3's DualShock3 (either by USB or Bluetooth dongle)
- The DualShock4 also got an unofficial "driver" for Windows -
http://kotaku.com/the-dualshock-4-has-become-a-pretty-great-pc-controlle-1648577637 or
http://www.digitaltrends.com/gaming/how-to-connect-a-ps4-controller-to-pc/
#Arcade Sticks
- There are plenty of tutorials online on how to build yourself, but if you want an out-of-the-shelf stick, look for HORI ones. HORI is basically the best 3rd party manufacturer out there. Being honesty here, I don't get why Madcatz get so much attention.
#Keyboards and Mice
- I know I'll get a lot of hate for this, but try to avoid Razer stuff. They are overpriced and overall the build quality is just not worth it - think of them as the Beats by Dre of PC gaming. Look for CoolerMaster, Rosewill, Logitech or SteelSeries instead.