I quite like the wheel ^_^ I have a Thrustmaster Ferrari Force Feedback wheel for my PC and the Logitech FF wheel for my PS2.
The Ferrari FF wheel on GPL, CMR2, Rally2K is just amazing IMO and it really involves you into the game. I was personally stay away from the cheaper alternatives as it doesn't do the peripheral any justice. In saying that PC world has cut the price of my PC FF wheel from £110 to £80 or so!
I've used both of my wheels on GT3 and the quality build of the Thrustmaster one really does shine through. The only bad thing for me is that I don't have a desk just for the wheels so I'll have to make my own >_<
As for not being able to keep the car in a straight line.. Are you sure you have calibrated the wheel correctly? Remember its not a case of plug in and play... Especially not for the first time. Pop into the options and set the "dead zone" as well as the extent of the axis of the wheel, pedals etc.
If you've done all of this and still find it diffucult to keep in a straight line using the in-car mode.... Then I won't be asking you for a lift lol ^_-