The very shortest throw and absolute fastest return to center can be had on the Omni-Stik, with the T-Stik in a very close second. You don't have to buy the switchable model, the standard one can be put in 4-way mode by adjusting the restrictor under the panel.
Personally, I prefer the original Pac-Man stick Mark mentioned. Not as short a throw, or as fast a return-to-center, but it's what I like.