RM-X is a
winamp plug-in which allows you to control winamp with keyboard buttons, game controllers, even RC controllers and net access! I've only tried the keyboard buttons and game controllers, and only with the winamp3 version, and they work very, very well. You can use them in full screen games, too, without minimizing the game.
Myself, I got a playstation controller to USB adapter from Radioshack for 10 bucks and control it from that - I have just about everything I could want to control on it. All it's missing is toggle shuffle, and that, I have heard, is in the winamp2 version.