I think that all driving games on Xbox work with the steering wheel, but I'm not 100% sure.
Are you buying online or from a shop? If you are buying from a shop you just need to look at the back of the game case and it tells you there if it's compatable with a wheel.
Alternatively you could email Xbox support, I'm sure they would be able to tell you one way or another!
The 'need for speed' series are definitely all compatible, as will be most other new ish titles, but the best driving game by far on xbox is 'Forza Motorsport' - the one to go for, no question.