Well for the player controls you will need the following:
IPAC-2 $39.00
http://www.ultimarc.com/ipac1.htmlThis keyboard encoder will give you just enough inputs for a typical 2 player 6 button layout with 4-8 extra buttons you could designate for admin buttons like TAB, ENTER, ESC, etc. It also comes with a nice easy to use program you can flash to the chip if you don't want to use the default key assignments.
All the following parts I recommend getting from Chad over at Lizardlick.com He's a great guy and ships really fast. I placed my order for some parts late yesterday afternoon and this morning I got notification my stuff has shipped

iL 8-Way Eurojoystick $9.95 x 2

Trust me pay the extra $2 per stick to get the iL over the Happ 8-Way Competition Joystick. They might look the same or similar in the picture but there is a difference and history behind these two sticks.
Happ Competition Pushbutton with Horizontal Microswitch $1.70 x 12

or
Happ Pushbutton with Horizontal Microswitch $1.55 x 12

Solderless Quick Connect, 18-22 AWG Red $0.10/each or else you could get a pack of 100 for $5-6.

Depending on what sort of controls you go for American (HAPP/iL) like I have listed here or Japanese (Sanwa/Seimitsu) these quick disconnects come in two different sizes. American = 0.187 Japanese = 0.110. Always get extra in case you mess up, there is nothing that running out of quick disconnects or wire when working on your control panel wiring. Trust me I know

This gives you a rough idea of what you need to complete your control panel. Depending if you need more then 2 players or want to have a dedicated 4 way stick like in the penny arcade you posted you will need a controller that can handle more inputs like the IPAC4 or get an additional IPAC2. Keep in mind buttons count as one single input each and joysticks count as 4 separate inputs.
I also want to note that there are other alternative for parts such as groovygamegear.com. RandyT has keyboard and LED controllers as well. I've used many of his products like the KeyWiz, GPWiz, LEDWiz+GPWiz in all my projects. If you have any other questions feel free to post it here. Good luck.