As far as I am aware with the Xbox 360, you are limited to basically two types of wheel. The official Xbox360 Wireless Racing Wheel, which I have, or certain wheels by a company called Fanatec – fanatec.de
In my opinion the Microsoft wheel is somewhat affordable, whereas the Fanatec wheels are quite expensive. I’ve never used a Fanatec wheel; I tried to buy one last year, but living in Australia that insisted that I had to buy through a local distributor, who coincidently wanted to charge me about double the price of what Fanatec sell the wheel directly to Europeans and Americans for. Needless to say I didn’t buy the wheel. I find the Microsoft wheel offers a good enough experience.
From reviews and what not it seems the main advantage of the Fanatec wheels are that some models are compatible with Xbox, PS3 and PC, and the pedals are lot better, and include a clutch.