I never really thought of getting one, since I'm not into fighting games and figured the controllers were enough, but recently I bought the HORI Arcade Fighting Stick HPS-71 for PS1 and PS2 and a ASCII Fighter Stick Special for the SFC and they're so fun.
The HORI one has rumble and it feels so good on racing games.
I use them on every game that doesn't require the dualshock, from the Japanese EDF version that only uses the left stick, to F-Zero. It even works on Nintendont on my Wii with an adaptor.
I'm addicted to microswitches.
Thinking of getting the CAPCOM Fighting Stick for my Genesis. Hopefully I can find it cheap. Most Mega Drive sticks don't have microswitches.
What about you, anon? Do you use one?