I really like my Logitech Driving Force Pro. It is made for the PS2, but it is USB and works just dandy in MAME on a PC. It is of very high quality, made of heavy plastics, with authentic looking pedals and a realistic rubberized wheel grips, and a shifter knob. In PS2, it automatically switches to 900 degrees (same as a real steering wheel) in supported games such as NFS Underground 2. I have used it in MAME with Outrun and Spy Hunter with good results.
Very realistic force feedback in PS2, but ff doesn't work on the PC. You could easily hook it up to PC and PS2 using a USB compliant KVM switch.
Price tag is $150, but it is well worth it. Rumble-only steering wheels are a joke, and most of the cheapie ff wheels will break pretty quickly in the hands of ruffians (or children).
There is a cheaper version, the logitech Driving Force, which is basically the same but without the shifter, and less sturdy pedals. This one also works in MAME, and is only $79 if you don't mind blue plastic instead of black...
I have tried many other wheels for PC, PS2 and XBox, but this is by far the best I have found. All the MadCatz wheels are bulky crap, don't waste your money.