This seems like a good moment to plug the Ultrastick 360. Yes, it's expensive... and yes, it's only available from the one source... but in my experience it does live up to the billing, and the ones I've used have been totally hassle-free in operation. All the games in MAME know how to interpret its input and automagically translate it to whatever form they require: 8-way, 4-way, 4-way diagonal, analog, etc.