The NES Zapper is number one for me as well (so many hours spent on Duck Hunt). I found the SNES' Super Scope to be fairly unreliable and I tried shooters on both the Wii and the PS3 using the PS Move but none of them appealed that much to me.
I really enjoyed playing DDR but only the arcade one since the affordable ones for consoles (both official and third party ones) were slippery, somewhat unresponsive and prone to tearing.
As for the Guitar Hero guitar, I've tried it and it's alright but I usually prefer to either sing or play the drums in Rock Band. Unfortunately, I haven't tried the Donkey Konga/Taiko Drum Master drums or the Samba De Amigo maracas yet but based on your description, they do sound fun.
As for a peripheral that didn't get a chance to shine but deserves an honorable mention (for me), my pick is the SNES mouse. I spent countless hours using it in Mario Paint and would've absolutely loved to be able to play games like Sim City and Shadowrun with it. On a quick side note, Blazing Dragons on the PS1 and Saturn would've been way better with a mouse since it's a point-and-click game.