I use a hori pro stick (mushihimesama futari ltd edit Xbox 360), directly into my pc via usb and use that in mame. It doesn't work with my old mame set up (mame32 0.106) but works fine in shmupmame 2.2 and some others I used to use. For pc shmups i would use a program called xpadder to map my sticks/controllers if they weren't found automatically. I've literally spent hours of my life testing different mame set ups and hunting google. I still have issues. Just find a formula that works for you and stick with it
Another good program to use is Joy2Key. That's the one I've been using, and I have to play *all* PC games (aside from slow, turn-based ones) with the damn controller, including games like Diablo 3 that are normally all mouse (that one though requires a couple additional things). Xpadder is pretty good too though. I keep both around for the rare occaision when one of them just REFUSES to work on a certain game for reasons I've never figured out.
As Mame goes though...... yeah. IS there a version of Mame that JUST BLOODY WORKS? I dont think so. It seems like the usual thing to do is to have like 5 versions of it sitting around, depending on the game and the setup. Annoying, but..... it's hard to complain too much about it when you've got 7000+ arcade titles on there.
......but I'll complain anyway. I'd have to be asleep or something to STOP complaining about stuff.