I played PGR2 with the X-box controller, also Rallisport Challenge 2, Colin 5 & Forza. Bought 2 wheels: used Thrustmaster ($10), Madcatz - both of which were not good enough to be worth using. Also tried Fanatec X-box wheel which was well-built but did not have real FFB.
When I got PS2 & GT4 I bought a G25 & never even started using the Dual Shock. Since then, have used the G25 with GT4, Enthusia, F1:CE & various PS3 driving demos (GTHD, GT5P, DiRT, Burnout, Pro Street, Burnout, Sega Rally Revo etc.). I will, of course, use it with GT5P & eventually PC sims.
As far as I'm concerned the G25 (& the DFP) is Sony's driving/racing game ace-in-the-hole. I think M$ made a serious error when it opted for its own (substandard) wheel - it is the main reason I decided against buying a 360, Forza 2, HD-DVD player etc. etc.