If you really want to go all out with your sim racing setup, a simple wheel might not suffice. That's when you'll want to look to more discrete parts and building up a sim racing rig in your own style and to your preference.
For that, you'll want to start with the base. This is essentially an axis that translates your movements on the wheel into a digital signal for your game, all the while being the driving factor of the feedback you'll feel from the game. It's important to make the right choice for your base, and that means deciding between a direct drive or belt-driven design.
For the most part, you'll find compatibility for bases varies between Xbox/PC and PlayStation/PC. You'll rarely find support for both consoles in one, but almost always PC either way.
Then you'll need a steering wheel to mount onto your base, usually through some sort of wheel to base hub or adapter. This can be a more bespoke wheel for a specific motorsport, such as F1, or something more general for GT racing or a bit of everything.
You may need to look for separate button and shifter add-ons alongside your wheel or they may be included in one package.
Moving on to the pedals and we generally recommend picking up a set with accelerator, brake, and clutch pedals all-in-one. You might not be much of a manual driver now, or even need the clutch at your feet for an F1 setup, but it's useful to have for the full range of racing games. We've even set the clutch pedal to apply the handbrake in lieu of a formal handbrake accessory.
You will also want to consider how you mount this sim racing setup to your desk or sim racing frame (if you're really serious). Most of the time that's a fairly easy process of simply buying the clamp that goes with your base from the same manufacturer, but perhaps you'll want to consider a more exciting setup before hitting the checkout.