I think the only steering wheel that has "official" 360/PC/PS3 compatibility are the Fanatec wheels. They are expensive, but you get what you pay for. I own the 911 Turbo S and the clubsport pedals. They don't sell that one anymore but have released a new wheel for 360/PC/PS3 due to popular demand after the original 911 Turbo S (produced only in limited quantities) sold out. I have been very impressed with the quality and performance, particularly the clubsport pedals. I think the pedal design is very elegant, and it has excellent fundamentals (hall effect sensors and a force sensor for the brake not a pot).
In fact I have been thinking about upgrading to the newer wheel and selling the 911 Turbo S wheel. And the only racing game I own is Forza 3
Ruahrc