If you're playing on Ubuntu, I've included source code and scripts that make setting up controller support as painless as possible. Though it still might be painful, but hey! You're using Linux, so this should be easy.
Anodyne MUST be installed into the default steam directory in your home folder or achievements won't work. Sorry.
If installation fails, you probably don't have Adobe AIR. Follow the instructions at my friend Lars' site to learn how to install Adobe AIR. http://www.defendersquest.com/linux.html
Open a Terminal and navigate to the folder where Anodyne's installed (I think it's ~/.steam/steam/SteamApps/common/Anodyne or something).
Anyways inside there is a folder called "linux_controller". README.txt has instructions - you need to compile a joy2key program and a configuration program. Run the config once with your controller plugged in to make a controller configuration, then run joy2key once Anodyne is running, click on the Anodyne window and your controller input will be sent there.