The best gamepad that money can buy is the Xbox 360 controller. You can buy a wired USB version which will work with Windows using a driver (I believe there are also unofficial drivers available for OS X) or you can get a Wireless version which includes a USB dongle and Windows driver (again, unofficial OS X drivers are available).
Don't consider any other gamepads - this is now the standard for Windows games with many new titles including out of the box support for this great pad.