On PC I use a custom arcade style joystick - I build them BTW
*Note* - If you plan on going the arcade stick route, make sure that you get a PS3 compatible one. the 360 sticks map UDLR to the D-Pad, whereas the PS3 variants map UDLR to BOTH the d-pad AND the analog stick. This means that if you use a 360 stick on your PC you will not be able to play most doujins, as they are hardcoded to use the analog stick for directions. Stuff like Perfect Cherry Blossom, Eden's Aegis, rRootage will not play correctly with a 360 stick...from my experience.
I'm actually selling some of my joystick collection - some customs and some Hori stuff...check it out if you're interested:
http://shmups.system11.org/viewtopic.php?f=4&t=36404