Even though some feature complex locking mechanisms, clamps are typically made of plastic, so they will break if wound too tightly or played with too vigorously. Some wheels stabilise their grip on the table by increasing the surface area of the clamp or having two or three clamps. Wheel placement will also affect your choice, particularly the angle of the steering column. Some people don't mind being wedged right up against the wheel, while others want to be able to lean back with arms outstretched. Some devices have the luxury of a steering column with adjustable angle and length, but it's simpler to adjust the height of your chair.
Construction is also vital.
The best quality wheels have a solid metal base with a brushed metal finish and firm rubber grips on the wheel handle. The price goes down considerably as each component is replaced with plastic. When testing a wheel, first check for the transitions between turning left and right. Cheap wheels have a nasty habit of snapping back and forth to the neutral centre, which will adversely affect gameplay. The best wheels have a smooth transition from left to right, with spring tension increasing as you turn further.