The Sega CDX. I had a Genesis, I had a Sega CD, but the thought of having both of those systems combined into one compact unit that also could be used as a discman (a really bad one, even I knew that at the time) was so appealing to me. There was one at the local game store for some absurd price ($350 I think) for literally years, and I would salivate over it every time I went in the store.
Ultimately I never got one, but at least I didn’t miss out on any games or anything.
For general use I have a wired Mad Catz 360 pro controller with textured grips. Modest dead zone, no drift despite a decade of use, and comfy as hell. It’s an absolute workhorse and still works as well as it did when I bought it.
If I’m playing something that doesn’t require analog input I have an 8bitdo M30. If I’m not using it through Steam it can be a pain to map since it has a 6-button layout instead of the usual ABXY, but I vastly prefer the 6-button layout so it’s worth a little headache to me.