I just got F1 2002 and I'm pleasantly suprised.
Live for Speed is really entertaining, and free, and has very good close online racing:
http://www.liveforspeed.netRally Trophy is my other favorite, but probably only available on eBay or another online source.
Racer and Netkar are also good free sims, but I don't care for Racer's physics / FF support, and Netkar doesn't support multiplayer or AI opponents yet.
I have a Logitech Wingman Formula Force wheel which works great, but I think it's not in production anymore. They have new version called the Momo Formula Foce or something like that.
The ACT Labs wheels and pedals look really great if I was buying now.
FF wheels are great on games that have good support for them, like LFS or Rally Trophy. On those games you get a great feel of what all four corners of the car are doing, and you can actually feel understeer or oversteer or a wheel locking like in a real car. Some developers don't get it though, so on some games it's not even worth having it. But you can always disable the effects and just run the wheel in spring/damper mode. For me it's worth it to have the FF for the really good games.