Any controller or combination of controllers should work, with only a few hitches.
1) Mame games with a 2 speed shifter usually have the shift input as a "toggle" input; press once it's low, press again it's high. This is for ease playing with the keyboard, but is not like the original shifter. You can either edit the source, or (if the shifter's driver can do it) you can set it to work with the toggle input, and/or remap those game's inputs.
2) You want a 5 speed shifter. These usually can work as 2 speed shifter (but see above), 4 way shifters, and 5 way shifters in most mame games. Most PC 4+ speed shifters are either digital if fixed number speeds, or analog if you can can change the number of speeds. If analog, usually the driver can map each speed to a keyboard button, which is great with mame if the original game was digital. Most arcade games were digital, but a few were analog (Hard/Race Drivin' sit downs). These work best with an analog shifter with it's driver set so it does not remap to the keyboard.
3) Pedals come in two "flavors": "combined" and "split". Most "split" PC pedals (ie: most of the mid to high end ones) have drivers that can change between the two types. If you build your own, you can add a switch to change between the two (FWIW, looks like the thomas wheel linked prior also can have this switch).
If the game's driver in mame has the inputs set to "combined" (ie: are called "AD Stick Y"), combined mode is better; split mode will have mame treat the gas as analog and the brake as digital.
If the game's driver in mame has the inputs set to "split" (ie: are called "pedal", "pedal 2", and/or "P2 pedal"), either mode for the device will be okay, except with combined mode you can't rev the engine with brake on and then release the brake and drop in the clutch with the engine at full RPM.

4) If the pedals each have it's own axis (ie: in split mode), the first half distance of travel will probably not seen by mame.
5) ForceFeedback in not in mame.
6) You might need to remap the inputs for your setup to work perfectly in mame. I advise testing it using the TAB input first, then copying the settings to the ctrlr ini files, so you only need to do it once.
I have a saitek R100 (w/ combined pedals), and a logitech USB Fomula GP WingMan (w/ split pedals); both work fine with mame. [shrug]
I'd like to get the act-lab GPL shifter. I've never used it but it sounds great for mame; it's one of the analog ones with drivers that can map it to keyboard. But I also want a sit down cab to put it in, so I'll have to wait a little while.
