Yay! I bought a generic game pad from some company called "Saitek," and at first, it was very flakey with SNES9X's built in HID thingies. Then, I got "GamePad Companion" (mentioned above in a link by cq107), and used that to map things to key normally at the the keyboard (so, for instance, when I press a button, it types "b" in a word processor, but controls SNES when the keyboard is mapped right.)
Anyway, GamePad Companion works fine for me, and I don't find that there's much lag at all.
I tried USB Overdrive, and it didn't work with it. Go fig.