A wheel makes it about a hundred times better, even if you pick up a something (relatively) inexpensive, like a basic thrustmaster, (
http://www.amazon.co.uk/Universal-Ch...8695820&sr=8-5)
I guess it's like the difference between playing guitar hero with the custom controller or with keyboard (but having said that I've not actually played guitar hero).
The cheaper wheels break easily though (even the thrustmasters). The gear change paddles can break pretty easily and the pedals break also.
The cheap wheels basically may as well be a 'consumable'. You have to buy one after another (I used to pick them up on ebay just to replace the peddles, they break so often, but it works out more cost effective to save the money and buy something durable, especially something with a gear-lever/stick-shift for deeper immersion (plus you can assign the stick as a handbreak (and use the paddles for the gears) if you're playing a rally title. That's how they have the handbreak set up in rallycars, like a little shifter right next to the wheel).
If you're looking forward to playing Mafia II and Alan Wake, and if you generally like racing titles I'd absolutely definitely put a little money aside to get a decent racing wheel (you won't regret it.).
Not sure if they're implimenting them for GTA yet (I don't play the GTA series (the driving model is worse than crazy taxi)). The only couple I played didn't support a wheel (which just goes to show how c****y a driving-oriented game GTA actually is, in my opinion). Sorry if you like GTA, that's up to you, I just don't.