You're very limited on choice.
I've got the 360 wheel, as well as the Fanatec Porsche Turbo S wheel. At first I loved the Fanatec, but it's actually not as nice to game with as the MS wheel. The MS wheel is let down by build quality and the worlds worst pedals though, but it does feel better and more direct.
The Turbo S has the Clubsport pedals, which are truly amazing and have awesome build quality. The wheel itself isn't so hot and the retention mechanism isn't ideal for some desks.
I didn't bother playing TDU with a wheel, but Forza 2 and 3 and DiRT2 are way better with the wheel, if not always quicker for some people.
The MS wheel I use at work gets used day in day out and has racked up some serious use, but it's still going strong. For the money they're not bad. It's just a shame there's the likes of the G27 for PC/PS3, which succeeds in making the MS wheel feel like a cheap toy.