I don't own a PS2 but I do own a Dreamcast with some racing games and a steering wheel. And if you play a lot of racing games you should definately get one! I bought mine on ebay really cheap, and it was new in box (5 euros, thrustmaster ) So you might want to check Ebay out for one as well
The only thing I found out when playing Metropolis Street Racer (the prequel to Project Gotham Racing) was that I am able to get way more Kudos when I play it with a normal controller But I enjoy it more with the steer
n_w is right. Logitech makes the best racing wheels for the PS2, and the PC as well (but for PC there are many other great ones)
Basically, a few years back I bought one of those Mad Catz steering wheels. Sure it was only $30.00 but it should have been in the garbage. The worst wheel ever! Never buy anything from those really cheap 3rd party companies. Egh! Worst wheel ever.