Usually two copper contacts or "slip rings". One being ground the other being usually 12v.
Data is passed through the DC lines digitally. They'll probably eventually become radio connected, if not already
BMW tested a steering wheel with a BlueTooth connection in early 2008 and found that the BT reciver under the drivers seat was fair game for vibrations to knock it off. However someone pointed out it could have been due to the fact that BT is very dependant on mass between revivers, and the mass of a Carbon Seat and the drivers legs and lower torso was just a little too much.
The weight saved with a BT connection was an alleged 3 Kilos, but the connection to get solid data and function between car and wheel is more important than weight.
The next generation of steering wheels will probably have WiFi connections in them, however i think a wireless wheel will be banned by the FIA before it even hits a car in anger again. Better with a wired connection for safety, as you dont want to be going down to Ascari at 300Km/h plus and the car selects neutral or it alters a diff setting that spits the car off into the gravel.