I have a Fanatec Porsche Turbo S. It's got wireless to the 360, a dongle-based wireless to PS3, and USB to the PC. Great wheel, although every once in a blue moon (maybe once every few weeks) it'll spaz out, crank itself full left and lock up. Powering it off and back on fixes that, and it hasn't been enough of a problem to bother trying to figure out. Other than that it's perfect. Great force feedback, nice feel to the wheel itself, highly configurable, and a full six-speed (6 forward, 1 reverse) gear shift, along with a throw-in sequential shifter. The shifters are plasticky, but you can apparently buy higher-end ones from Fanatec now.
If you're playing Forza on the 360 it's a must-have. If you play on the PS3 I'd check out the Logitech wheels because GT5 has some Logitech-specific features. If you play on the PC you've got your pick of the litter.