Depends on whether you want a game, or a simulation. Everything mentioned in this thread so far has been games, so I'll list some sims instead.
NASCAR - Nascar 4 is simply awesome. Uses same physics engine as Grand Prix Legends (below) plus has some more updates graphics-wise. Only thing missing is the "seat of your pants feel" that you get being in a real car. Dale Earnhardt Jr. and Kevin Harvick both swear by it (ie, that it is an accurate sim) and race it entensively. In fact, Kevin credits it for helping him to learn all the tracks so quickly, and Dale Jr. cites Nascar 4 as the reason for his dramatic improvement in road course races this year. Excellent on-line implementation as well.
Formula One - For a modern day sim, I'll go against the grain a bit and say that I prefer Ubisoft's F1 racing simulations, versus others who will swear that Grand Prix 3 is the best. Actually, I like both, but I like Ubisoft's a bit more. EA's F1 2000 Champ Season is decent and has the new track at Indy, though avoid the earlier EA F1 2000. If you like the older F1 cars, then you will love Grand Prix Legends. Not only is it the finest racing sim ever, I rate it against ANY other game in terms of technological innovation. 99.99% of driving games are lame models with the car based mainly on its CG and a few other datum points. GPL models individual components of the car, and the physics engine runs at 200MHz. Through in the historic tracks, modeled with near total accuracy (such as the old Nurburgring, all 14+ miles and 144 turns), and you have a classic. Actual real world open wheel drivers rate this sim highly.