I have tried to use things that I have:
-WiiMote - Always been a pain and never quite worked (I need to try again though)
-PS1/PS2 controllers through USB adapter - This worked out of the box with an ancient radio shack adapter and I have since gone to the cheap dual playstation usb adapter. It works fins as long as both controllers match (don't mix analog and non-analog). I picked up some 6 foot cable extenders and the 2 controllers reach across the room. I will probably pick up a used playstation arcade stick at some point as well.
-Microsoft Sidewinder USB Joystick - Picked it up at a yard sale and it works, but it's too big for most systems that were designed to use a short arcade joystick.
-Cheap USB NES USB pad - Works okay, but feels cheap and has a really short cord
-Cheap SNES USB pad - Works better than the nes pad but still a short cord
I like the idea of bluetooth, but it's really finicky. The PS3 controllers are probably better supported than the Wiimote+Classic Controller, but they are also expensive and the generic PS3 controllers are a real roll of the dice quality-wise.
One final thought: The Playstation dual analog controllers (Xbox 360 probably is the same with twin sticks) are also nice because you can map the d-pad to a stick whick is a lot nicer for Atari and most shooters. It's passable for fighters that don't need 6 buttons (but I grew up on PS1 Tekken so I'm used to PS fighting style).
I think it's always worth having either an old PS pad with adapter or even a cheapie SNES pad around because they basically work out of the box. Anything wireless requires some setup and can be a hassle. Also, you can still use an adapted PS pad or usb pad with other devices (PC/Tablet).
