There actually exists two separate Microsoft Wireless 360 controllers, the one that specifies for Windows will work on both the PC and for the Xbox 360 (after syncing the controller with the appropriate receiver, something which is somewhat tricky if the PC receiver and the console receiver are within the controller's wireless range).
However, the one which does not specify "...for Windows" will not work with the PC, which is the distinction I am attempting to express when recommending it as an option for PC gaming.
On (US) Amazon the two separate listings are http://www.amazon.com/Microsoft-Xbox-Wireless-Controller-Win... and http://www.amazon.com/Xbox-360-Wireless-Controller-Glossy-Bl...
The PS3 controllers may work differently, but I do not find them as comfortable to use as the 360 controllers personally.