You can use the press player .. button .. block to simulate button presses in the game.
Button clicks
For example, the snippet below reponds to button A/B on the CPX and converts them into A/B button keyboard keystrokes.
Buttons on Pins
You can also detect clicks on pins by closing the circuit to the ground pins. For example, you can use alligator clips between the pins (a data pin and GND) and an Arcade button.
Capactive touch
Get your apples and bananas! It's totally possible to use capacitive touch to build controllers.
Shake and other events
Any event triggered by a sensor could be used to generate a keystroke. For example, shake can be used to make the bunny jump.
The light sensor is also a great sensor to build analog controllers.