The failure characteristics between a steel wheel and an alloy wheel are very different - large impacts will shatter an alloy wheel but will bend a steel wheel. The point being that a steel wheel, whilst bent is far more likely to hold air in the tyre than a shattered alloy wheel--- Also it *might* be possible to straighten a bent steel wheel, you can't straighten a cracked alloy.
There's often not a lot of difference in weight between the two.
As Snowman said, I think alloys look nice on a standard disco (compared to the standard steel wheels) but modular steel wheels look better on a modified disco.