Microsoft is partially to blame for this mess. With the introduction of the XInput API along with the Xbox 360, the company rendered all previous Windows gaming controllers obsolete by making XInput incompatible with the previous DirectInput API. While Xbox-style controllers for Windows are satisfactory, many gamers prefer classic, high-quality Saitek designs, and have even mastered their ergonomics. Moreover, good Xbox controllers aren't cheap. The free and open-source x360ce project was designed to address these problems. Doing the job Microsoft should have done, x360ce intercepts and translates XInput calls so that DirectInput controllers can understand them. It also provides a handy configuration window that allows more calibration and customization than many native drivers do.
The other side of the problem happens mostly with casual Web or Flash games, many of which would do well to implement gamepad controls. Platformers and bullet-hell titles are a perfect example of this. Sure, you can get by with WASD and the spacebar, but it's not 1992 anymore, so you shouldn't be forced to just get by when you've got that shiny, $60 wireless gamepad sitting two feet away.
The answer here is a program called Xpadder. Xpadder emulates a mouse and keyboard with the buttons and directional thumbpad of your game controller. It supports multiple profiles, rumble feedback, and chorded input, which allows for more commands than the number of buttons would normally permit. This technique can also be used to refine emulated mouse movement, with quick or precise modes for the analog directional stick switchable by toggling a preassigned button. Configuration screens are easy to decipher and present you with a visual representation of your gamepad for easy key assignment. You can also use it to control desktop software: For example, the video player of your Media Center PC can use your wireless controller like a remote. Xpadder isn't currently free, but it's well worth the $10 developer Jonathan Firth is asking. Older, free versions are still around if you'd like to give it a try before purchase.
Capability old and new
With speed and control taken care of, the last thing to tweak before you hit the road with your tuned rig is capability. Windows has been around a long time, and despite the many pains taken to ensure compatibility, things break on a regular basis. Older games run too quickly or not at all. Newer titles don't support all the advanced visual features on your shiny high-end graphics card. It can be a mess. Don't give up, though; you have options.