The x-box has a steering wheel, I spent ~100$ on the PS2 wheel and have only used it for a few hours. I don't have a proper setup to mount/use it consistently. My Mazda dealership has two wheels though... and a 54" plasma screen... and GT3
I have GT4, it's fun. It is also LONG. I am ~76% of the way through the game.
A few main points for Forza > GT4 are: XBL, damage, more paint options, and body kits.
A few main points for GT4 > Forza are: the massive number of cars, tracks, and GT series name.
I also have racing games such as TOCA2 and TXR0, TXR3, GT3, PGR, PGR2, LeMans 24h, NASCAR 2004, SRS, Burnout3, and others. Let me know if you want personal reviews of any of those.
I wouldn't buy a system just for one game... atleast not a NEW system. See what games interest you that are out there for the systems and go for the one that offers the best games for you. If you have high speed internet access and like playing against other people... both systems offer online play. XBL is considerably easier IMO.