Alloy wheels = lower weight = better performance (if you like to drive the wheels off your car)
Steel wheels = less expensive = more durable
A few more things... I've known a couple of people (different vehicles, wheels, tires) that had alloy wheels and experienced recurring leaks around the rim. This can be annoying. Also if you happen to hit a large pothole (speaking from experience) it can damage your alloy wheel, which cannot be fixed. A steel wheel is stronger and can also be repaired a certain degree.
So, if you don't mind the extra cost AND you have a performance vehicle that you drive hard, get alloys. If costs are a major concern, get steel wheels.
Just my 2 cents.