I'm using a PS4 controller with InputMapper to make games think it's an XBox controller (there's more support for it on PC), and the vibrate works on games that support it.
https://inputmapper.com/
Edit: The big advantage of the PS4 controller over the XBox controller (other than PS4 vastly outselling XBox One) is it will connect to your PC over bluetooth and work wirelessly. Only the latest XBox One controller will do that. All the other XBox controllers require a cable. And I actually prefer having to use a 3rd party driver since it gives me the flexibility to tweak controls and remap buttons, instead of being stuck using whatever the game designer thought was the best way to set up the controller. The toughest part is actually...