I started with my supers in 8-way mode, and it seemed too sensitive to the diagonals, etc.
I've switched to the 4-way mode and found this to be the best for me. It plays a lot better in games like donkey kong and the diagonals still work in 4 way mode. You have to want to go diagonal to get them there, which I think is better.
In 8 way mode we were having problems getting combos to work in fighting games, etc. because the joystick kept registering diagonals even if we were trying to go u,d,l,r. It was just too sensitive.