That's a personal choice only you can make. Best bet is a wheel that's comfortable and provides good grip - you'll find out about a 'bad grip' at the worst possible time.
I've had wood-rimmed steering wheels in several cars and liked them at the time. I've also had leather-rimmed wheels and liked them.
Personally, I prefer a steering wheel with 'finger grips' like a stock wheel rather than a smooth rim front and back if you're going with a hard-surface wheel.
Check out http://www.wheelskins.com/ for an easy way to add a quality leather wrap to any steering wheel. I added one to the stock steering wheel in my '95 Ram 2500 pickup and couldn't be happier with it.
