* All of them work fine with in Vista, I suspect you need to find a driver for XP if the gamepad doesn't supply them.
* Try to get the one with Dualshock/Vibration. Needed for some games, like the fishing quest in Persona 4.
* The analogue stick will go bust in about 6-8 months, and that's with light usage.
Any of those are good enough for your first gamepad. None of them will last. I'm saving up for a XB360 controller after screwing the analogue controller for two gamepads already.