Stock Cobra off the recommended list...no assists, the default SH tyres and balls of solid lead. It is one of the most hilariously suicidal experiences in GT5 and I certainly recommend it if you want to brush up on your steering and throttle control
I remember joining an online room just about to start a one-make race with the Cobra. I wondered why everyone was psyching themselves up, having driven the car around High Speed Ring a few times and not really struggling with it. We were racing on the Nürburgring Nordschleife, though, and I was the only one without ABS...
It certainly felt suicidal, but then so is the F40 in a Shuffle Race. Keep it under control, even being over-cautious, and it's still fast enough to beat everything else.
@ Morgoth666: exactly. I remember watching a clip from NASCAR racing, and one of the drivers was "complaining" over the radio about the car being too loose; he said it was a hell of a lot of fun, but not exactly fast. Racing drivers are people too (mostly...), so it stands to reason that they like oversteer as much as anyone else, as long as it's not slowing them down too much. 👍
EDIT: To contribute to the actual discussion: it depends. Some cars are just frustrating, others really rewarding, even if they understeer. If I find that careful attention to the car's dynamics, with alterations to my driving to suit, yields results, then it can be enjoyable. If I can't wrestle any improvements, then it's just not fun. I guess it's more about adapting to the car's traits, those that are consistent and predictable (even if they're wild, like the Yellowbird)
in their own way can be the most fun as you "get to know them".