I had Gran Turismo for the Playstation, and liked it a lot, then I got Gran Tourismo 2 and liked it even more. I got NFS High Stakes (also for Playstation) and enjoyed the Hot Pursuit part in the game. I just didn't like that you were restricted to only going around in a circle while being chased by cops... I've since then sold all my Playstation stuff. I got NFS Most Wanted and liked it a lot for a long time while doing the career. It got kinda boring after completing the career though. I just drive around and then try to be chased by cops for a really long time. It never works because I'm either caught or get away too easily.
I only played Forza once on a demo Xbox 360 in the store. I liked it a lot, but not enough to want to buy an Xbox. I think the racing game I've liked the most is Gran Tourismo, but I never got a PS2, so I could never play GT3 or 4. Now I go with PC games or nothing.