I initially thought your joysticks may not be assembled correctly, that's why I asked what kind they were. But since you are using Comp's, there's really not much you can do to those to assembly them wrong. A Super or P360 will be sticky if the conical bushing is installed upside down, but the Comp uses a cylindrical spacer. Also like cdbrown mentioned, the acutator levers on Supers can be not aligned properly, but that wouldn't be a problem on the Comp's.
If you open up notepad and type in characters with your controls, do you see the characters repeating like it is stuck? If so, I suspect a definite wiring problem. Do you happen to have any other joysticks you can swap in to see if the same thing happens? If the notepad test is okay, then your MAME install is flaked out. This has happened to me before, and what I do is just delete the entire MAME directory (except the roms folder!), and then unzip a fresh copy of MAME.