There are a variety of controller ad-ons available for XBox 360 controllers. At under $5, the gel tab thumb grips are actually rather useful, and inexpensive too!
These two plastic covers are shaped like contact lenses and fit snugly over the two thumb grips on your XBox 360 controller. They are a bit hard to get on - you have to pry them wide to get them to slip around the existing base and grab on. This makes sense - you want them to be very secure once they're in place, and to not move around at all.
I admit that I was a bit skeptical at first, that these would make a difference - but the rubbery, textured tops are really much better than the standard XBox 360 thumbstick tops. You do a lot of gaming movement with those thumbsticks, and the slightest tweak can mean the difference between life or death in a game - between dodging that bullet and having it intercept your body with grim finality.
I can't find these on Amazon, so you're stuck either hunting on the web for them, or hoping that your local EB Games has them in stock. Still, if you come across them, grab them! They're cheap, they're very functional and they really can help your gaming experience become much more enjoyable.