The Logitech Driving Force Pro/GT or the G25/27 are all great steering wheels to use for such games. I have a Driving Force Pro and G25 and can't really complain about them. The DFP could use better pedals, or even a clutch but it is a great entry level wheel. The G25 is amazing for the price but could use a bigger steering wheel (to mimic the real thing) and a shifter with more resistance. Mounting the pedals inversely would also aid in a real life feeling.
I personally play Live For Speed S2 on the PC with a G25 and have been playing for 3+ years. I really do want to try out GT5, but that requires a PS3 which I don't have.
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