i never actually owned one, but i've played with a sidewinder racing wheel. it's pretty awesome.
i wish i had spent the $30 extra on my wheels instead.
almost all the new games support that technology these days, so i say go with it.
http://store.yahoo.com/justdeals/logwinstrikf.html
there's one for 37 dollars, a logitech one.
be sure to check on pricewatch, that's where i found that one.