I would have the suspension or steering linkages checked out, you may have some worn out parts. You may also have a tire or tire going bad, check for broken belts or bulges on the tires.
If it does this under braking then probably you have warped or scored rotors. If it happens at certain speeds then chances are you have a alignment or suspension issue.
Drive your car around 60 mph, and again around 40 mph. If the vibration in your steering wheel is worse around 60 mph, your tires are probably out of balance.