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.
The "For windows" version is simply bundled with the wireless receiver. Once you have one of those, you can use any 360 controller.
I regularly use both the controller that came with my 360, and another 360 controller that I brought separately (with no "for windows" marking) in addition the controller that came with the wireless receiver.
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.