I use my PS2 Soul Calibur II joystick (not the crappy one you may have seen at game stores, but an awesome Japanese-style one made by Hori).
For anyone who has Windows 2000/XP and wants to use a PS controller, don't bother with USB converters. There is something else I use which is far better and cheaper, albeit a little more complex.
First, go to
http://www.psxpad.com and install the driver from that site.
Then, go
HERE and order one of these. Note that it connects to the printer port.
Finally, when you get that little adapter, plug it into the printer port and plug your controller into the adapter. If you have said driver installed, the controller should be working fully now.
This thing is beautiful, all the directions and buttons work perfectly and there's NO input lag as far as I can tell. If only PS2-to-Dreamcast or Xbox converters were this good...
-Josh