I have both a Masterplay clone and two PC 15-pin controller adapters, and must say they are excellent for most games. I really like to use my Sega Master System arcade stick to play games like 5200 Frogger, Pac Man, and Dig Dug. Only games that do not work well with these devices are the more "analog" titles like Missile Command, Breakout, and Gyruss. Overall, I would say if you can get your hands on these devices they make 5200 gaming all the more enjoyable.
There are a couple people over at AA that make and sell Masterplay clones. I bought mine this way for only $20. The only thing with the clones is that you have to have a Wico"Y" cable to play them with (in order to hook up a stock 5200 controller for the number pad and start/reset/pause functionality). The regular Masterplay devices have the number pad and start/pause/reset buttons built in and require no "Y" cable.