Right now, a Playstation Dual Shock-style USB gamepad (with per-button turbo which is nice)

Movement: left-hand D-pad
Jump: right-hand "D-pad" down (button 3, or some random symbol on a real PS controller)
Run: either left-hand shoulder button
Select: right-hand top shoulder button
Shoot: right-hand bottom shoulder button

I used to use a N64-style controller but that needs a real joystick port which doesn't exist these days.