My Wal*Mart (check yours!) has these for $2.50:
http://www.toysrus.ca/webapp/wcs/stores/servlet/ProductDisplay?storeId=10051&catalogId=10054&langId=-1&productId=66773The ones that my Wal*Mart has are in a different package, but it's the same product.
But here's the interesting thing (and why it's posted on this particular forum!)...

The plug that you use to connect the second controller into the main unit is a frickin' GameCube Controller plug/port.
Now, aside from wandering how legal this is (Seriously, I'd like to know!), I couldn't wait to get this setup home and see if it did anything.
Well, the plug fits perfectly into the GameCube Controller port (which I figured it would). Sadly, I cannot get any response from any of the buttons on the controller. Plugging a GCN Controller into the main Coleco Controller also has no response. HOWEVER, what makes this interesting is that the generic GCN Controller extension cable that I've got will work as an extension cable for the Coleco system... Weird, eh?
Anywhoo, it seems to me that there has to be some kind of useful hack for something like this...