I've been thinking about building my own RC-controller with a couple of XBees and a pair of arduinos. Someone is working on a similar project here: effetdebord.blogspot.com
Just ordered a "replacement" joystick for the psp from dealextreme (sku.24890) for $4. Hoping it will be simple to interface and decent quality. Other than that, I've had trouble finding decent joysticks that don't cost an arm and a leg. Feel free to pitch in with recommendations.