Inexpensive game pad for OS X?
Macally makes two USB-based game controllers that are OS X compatible. Both are around USD$30 at the time of writing on Amazon.

Macally ISHOCKX



Macally ISHOCKII



Sony DualShock 3



You can also pair a Sony Playstation DualShock 3 bluetooth wireless controller with OS X without the need for any additional drivers. Everything you need is built right in to Snow Leopard and Lion.

Press the PlayStation logo on the controller and OS X should show the controller in the list of available devices to pair with under the BlueTooth menu bar list. Once paired you'll need to map the buttons to key actions so it works with your games. For that  you can use the GamePad Companion app from the App Store.