I have that stick for my 360 and I love it. Great quality, really good action, and a bargain for $3. I think mine was about £20 a few years back brand new with Tekken.
I love a bit of Samurai Shodown or Street Fighter 3 with that stick.
As for Mame, I got 2 of those Tatsunoko Vs Capcom Wii sticks and a duo USB adaptor for them for about £30 total