There are many wheels that you can use for the 360. In some, the intended MS wheels will definitely work. Others include the Fanatec mid - high end wheels like the Turbo S for example, work with the 360 and PS3, and PC. You can check the comparison list for the 5 Fanatec Wheels. I'm quite sure they tell compatiability between consoles, and what not.
EDIT: I knew I read it here somewhere. In the 'Is it worth buying the [blah blah blah] wheel?
In the third post or something, someone posted this
http://www.fanatec.de/html/pw_overview.htm
Check it out. I states it there.