I picked up a Gravis Gamepad Pro for around $12US . It works great with SNES9X but the current version of S9x requires me to set up the buttons each time I run the program. There is an alpha out that stores the button config properly but this is not ready for prime-time yet.
Also, it doesn't seem to be supported by the current version of Gamepad Companion, so I can only play it with games that support controllers (gamepad companion allows the buttons of a gamepad to stand in for keyboard keys).
I have found the Gravis to be great for all the SNES9X games. It is comfortable, well built and looks L33T, the buttons feel a little cheesy at first but are tough and responsive. Thrustmaster have a similar product that is even cheaper.