Arcade sticks are the best way to play a lot of different games, and making your own is a lot easier than you'd think. The problem generally is making a good case for the buttons and knobs. DIYer Fredrik Setterberg made that out of some IKEA parts.
For the box, you'll need an IKEA box with handle, a chopping board, some stick on floor protectors, and some wood stain. As for the arcade parts, it's a kit like this one that includes a USB interface, buttons, switches, and a few wires. Total cost is around $US50 ($67)-$US70 ($94), not including the tools you'll need. The project is insanely well documented, with photos, a PDF guide, cut-out guides for the button holes, and more. Head over to Setterberg's site for everything you'd need.