As others have recommended I also recommend the X-Arcade dual stick controller. It is a great arcade quality and feel controller with enough buttons for any real arcade game being played via MAME, and WinUAE also has direct support built in for the X-Arcade which is a great bonus.
The X-Arcade sticks are a bit more expensive than your average home controller, but you know it was worth the price as soon as you use one. Solid, heavy, nice joystick feel and good soild click of each button. It also has the side buttons for pinball games, and also 3 built in programmable configuration settings.
You can also get PS/2 or USB connectors for them so they should work with all PCs. Plus you can get adaptors to use the X-Arcade with many consoles including PS2, Xbox and Dreamcast.
Or if you wanted to splash out some serious money take a look at the Slik-Stik Classic. I've got one as part of my MAME cabinet and it is brilliant.