Go into the Final Fantasy XIV Config program. You have the option to configure your game pad. First, make sure it is turned on, second, assign all your buttons. I use a 360 controller configured as follows:

Left Stick: Movement
Right Stick: Camera
D-Pad: Menu controls
Back: Unassigned (Used for my voice-chat software)
Start: Map
Y: Menu
B: Cancel
X: Active/Passive Mode
A: Confirm
Left Trigger: Auto Run
Right Trigger: Emote (Which is also used for Battle Regimen, Marking Targets, etc.)
Left Bumper: Ctrl Macros*
Right Bumper: Alt Macros*

*I might have these backwards. I can't look right now because I am patching. But this button assignment also controls tabbing left and right between tabs in a window; for example between Loot, Inventory, and Bazaar, and I have them set up for right bumper tabs right, left bumper tabs left. If the tabbing is backwards, just reverse them.

Hope that helps!

(On a side note: Most people using my setup as a base, would probably feel more comfortable swapping the X and Right Trigger buttons. Its an odd tweak that might be awkward for most people)