What make the steering wheel shake is the tires that need wheel balance.
Wheels are out of balance
lose bolt no seriously its probly your alinement is off
i would really like to know myself
Not the steering wheel shake itself, however what is causing the steering wheel shake, can certainly be extremely dangerous and potentially cause you to lose control of the vehicle. **GET IT CHECKED OUT BEFORE THAT HAPPENS**
You may have a bent wheel, defective tire where a steel belt has shifted or broken, worn steering parts, and possibly a defective wheel bearing.
shifted or broken belt in the tires
If it happens when you are driving fast (60-70 MPH) it could be that your wheels are out of alignment.
Wheel balance
Yes, it is possible. Any loose/worn front end part can cause steering wheel to shake.
Yes A VERY common concern is steering wheel shake due to ice in the rims
More than likely your tires are out of balance. Have your tires rotated and balanced. Make sure they check for a bent wheel.