Most Wanted or Underground 2. Carbon isn't bad either.
Bumble said it but, Hot Pursuit was the crowning glory.
And if you buy a steering wheel get a really good one, because anything that is from a medium to low standard mucks about and is completely unrealistic and hard to use. I've never liked them. I always liked the use of pedals but never the steering wheels. What you do on the steering wheel is never clear on the screen unless you have a good wheel.
Don't completely dismiss a steering wheel but, they are good fun.