Wheelskins makes nice leather steering wheel covers. It doesn't look quite as nice as from the factory, since you have to go around the spokes, but the feel is really nice. You need to take your time on the install, pulling each stitch real tight, but the end result is nice. I put one on my last car and really was pleased with it.
You can get them at wheelskins.com, or there are other vendors on ebay that will sell them for a little less.