A steering wheel is a common item on the control panel of many arcade games.
There are several types of these wheels but the vast majority of them will fall into one of three different types.
Free spinning wheel
These wheels can be spun forever in either direction. In most games your car will quit turning the second you quit spinning the wheel. This is by far the most common type of wheel, used in games such as Turbo and Ironman Ivan Stewart's Super Off Road. These wheels use the same technology as a standard PC mouse. Spinning the wheel rotates a spoked or slotted disk, which is read by a light sensor. This is the easiest type of wheel to adapt for use on a personal computer (or MAME cabinet).
Limited motion wheel
Same design as the free spinning wheels, but can only move in a limited range. Your car will continue to turn as long as it is held off center. This type also interfaces with an encoder wheel. This type will not interface correctly with a PC, as almost all driving games that can be controlled with the mouse expect unlimited movement (you have to use the mouse port to hack this stuff in). Out Run uses this type of wheel, as do many other games.
These are the wheels that try and recreate the feel of a real automobile wheel. These have been used by many games from the mid seventies, right up to today. These have limited movement, and a much heavier feel. They are usually interfaced via a potentiometer, just like analog joysticks are. These are fairly easy to hook up to a computer, as they can be wired directly to the joystick port (although you have to swap the potentiometer with one out of a joystick).
Arcade force feedback mechanisms (which may appear on any style of wheel), are usually either chain or gear driven. Or work by spinning an off-center weight around on the wheels shaft (inside the cabinet). The chain/gear ones are very prone to breaking down, and it is rare to find a functional one in an older machine (cough, Out Run, cough).
Where to buy one
Arcade steering controls are expensive. The cheapest new one available (a generic free spinner, with kind of a bad feel to it), is over $150 USD (while higher models can go for as much as $600 or more). It is often cheaper to buy an entire dead game (and pull the wheel off of it), than it would be to order a replacement wheel. If you are truly interested in spending a lot of money, then happcontrols.com has a nice selection.