I have one that I haven't used in a while (So I can't tell you about new games), But it's generally immersive and once you get used to it, it's the best control scheme for racing games, because it's more sensitive for one thing, so saving time off time trials is a more tense affair as it means that turns allow for a hundred different angles/routes through them, whereas a mouse + Keyboard set up is more like you either go inside track or outside track, because it's far less precise.
But the big problem is the quality of the wheel, and force-feedback (Which is when there is resistance in the wheel, like a regular steering wheel). The last couple times I tried to use a wheel it worked (as in the game picked it up) but there was no force-feedback (granted it was years old at that point, so I couldn't get new drivers). And watch out for Mad Catz (Or whatever their name is) because they make notoriously crappy gaming gear, and they make most steering wheels for games.
But all this is based on a wheel at least five years old at this point, so before you rush off and spend $200 bucks (I think that's what I paid, but to be fair it was NZD, do it'll be a lot cheaper I'm sure), wait for other comments of people who use newer wheels on newer games.
EDIT: I just remembered that the last game I played with the wheel was Need For Speed: Shift 1 + 2, and those worked, but I remember having problems with DiRT.