My tuppence worth...
I've used a wheel and can tell you for what it's worth it isn't bad. Pedals don't tend to work as others have said previously, accelerate and brake are not controlled by an axis. I have a cheapo Genius one that also works with the PS2 (ah the good old days of GT3 and 5) and so the buttons are in similar positions and similar distances apart to sony controllers.
The novelty soon wears off. Having to dive over the steering wheel, if you have a lap rest for it, to /gu before you are executed is a little annoying, but all in all it's a decent experience when you have the camera in first person.
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