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Joysticks

USE

Joysticks are used in about 95% of all arcade games.  No arcade control system would be complete without at least one, and preferably two or more.
Options
There are so many different models of joysticks that discussing a preference with someone is almost like a religious debate.  We'll let you decide which one's the best, but there are several factors to consider. The Controls section of the main FAQ is a good place to start reading about joystick options, but the best place to find out which joystick is "the" one to get is on the message board, where it's a frequent topic of conversation.  Hint - presently the favorite seems to be the Happ Super 8 joystick, a bat handled microswitch joystick that can be switched from 4-way to 8-way.
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Trackballs

USE

Trackballs were used in many games, such as Centipede, Crystal Castles, and Marble Madness.  You can substitute a joystick, but it absolutely does not feel the same.  Imagine madly going from one side of the screen to another by push a stick instead of slapping across a trackball - no comparison.
Options
Other than choosing the size of the trackball, there's really only two main options:  The first is to purchase a trackball meant for PCs, and hook that into your arcade controls.  The second is to find a real arcade trackball, and find a way to interface it to your computer.  The first method is easier, but the feel of a PC trackball is not as authentic as an arcade trackball.  Trackballs essentially function as a mouse, moving in the X and usually also Y directions.  There's more about how to hook up arcade trackballs in the main controls section of the FAQ.

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Spinners

USE

Spinners were also used in many games - either to aim your weapon, or to move your character.  In games where it was used to move your character, such as Tempest, a joystick can be substituted for a playable but horrible feeling game.  In games where you have a joystick to move and the spinner to aim, such as Tron, it's nearly impossible to play without a spinner.  Spinners work much like a trackball in that they function as a mouse, however they move only along either the X or Y axis (only horizontal, or only vertical).
Options
Spinners are one of the more complicated components to add.  The only two ways I know of to obtain a spinner for your project are to either purchase one from a place such as TwistyGrip, or to build your own.  Fortunately, judging from the number of people who have sucessfully built one, it is very possible to do so albeit somewhat difficult.  The controls section has more information on building spinners.
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Steering Wheels

USE

Steering wheels, of course, are the control of choice for driving games and such.  The only acceptable alternative I might use would be a flight-yoke.
Options
There is not much on the FAQ presently about steering wheels.  Almost no one has incorporated one into their project to speak of, and those that talk about them usually just purchase one such as the Thrustmaster series.  There are a couple of excellent sites devoted to building racing simulators, that include building steering wheels.  Look for these on the links page of the FAQ.
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Flight Yokes

USE

Flight yokes (or StarWars yokes) are used obviously for flying/space games.  Games that work well with these are Flight Simulator and StarWars for example.  There really is no adequate substitute for a flight yoke if you are going to play these kinds of games.
Options
There are a couple of options here.  You can purchase flight yokes for PCs from most any gaming store.  For the StarWars style yoke, you can purchase one from TwistyGrip when they are available (rare, sell out quick), or attempt to make your own based on the TwistyGrip plans.  There's also one project on the examples page that built their own yoke that is just incredible looking.  Learn more about flight yokes on the controls page of the FAQ.
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Buttons buttons everywhere

USE

A control system's not good if you can't shoot or jump, right? :)  You push, something happens, life is good.
Options
Buttons are probably the most painless part of putting together a control system.  They have the same two options that joysticks do, that being microswitch or leaf style.  Leaf are no longer being made, but can often be found in aftermarkets.  There are really no reports of a preference in buttons, they all seem to give the same feel and gameplay.