I've used a dfew different small joysticks, and I like this joystick from Adafruit a lot. It's got a select pushbutton, and its pins are nicely arranged so you can connect it directly to any five pins of an Arduino with no shield. This joystick from Sparkfun can do the same. You'll need the Sparkfun breakout board as well.
I plug it into the analog pins, then use pins A0 and A4 as Vcc and ground, respectively. Then I configure them as digital outputs, and set A0 high to get voltage from it. Then I set A3 as a digital input to read the button. Finally, I read the X and Y outputs of the joystick as plain old analog inputs.
Enjoy.
Tom