The
Logitech Driving Force Pro is the wheel that pretty much all serious racing sim players use. It's a PS2 wheel that was designed for GT4, but Logitech released XP drivers for it too. It costs a little more ($109 at newegg, don't buy from EB/Gamestop/etc or you'll pay $150 for it) than a Momo wheel, and you get 900 degrees of rotation instead of just 240 so I would highly recommend NOT buying the Momo.
In addition to
GTR already mentioned, check out
Live For Speed too.
Edit: To make the DFP work in XP, you just use the same
Logitech Gaming Software that you would with the Momo. They added full support for the DFP a few versions back.