Probably "release check" is on in the controller settings. They have it defaulted to on for some reason(at least it was for me anyway). I know some people like it but it makes the inputs feel laggy to me.
Huh... I was wondering about that setting. I'll try this when I get home, since I did notice that it felt slightly delayed.
Actually, can someone give me a run down on all the control options? I noticed there was another that said something like "easy input", and another which registers/requires diagonal inputs. I think I have all of them on, but I'm not really sure what the benefits are. The only one I'm kinda sure about is the one that makes diagonals register, since that seems to help with precision when using a stick... But maybe I'm just imagining that.