IMO the best gamepads for PC are Xbox 360 controllers.
The wired ones plug right in and are detected natively on vista and above, xp just needs the driver installed.
The wireless ones need a receiver, you can get them on eBay or amazon or anywhere for ~$15.
You can get ps3 controllers to work too, but the software (third party, since sony hasnt bothered) is kinda wonky and can cause issues with some games, and general system stability.