Alloys of aluminium or magnesium are lighter but provide the same strength. They also provide better heat conduction, and often are better in appearance over steel wheels.
Although steel is an alloy of iron and carbon, the term "alloy wheel" refers usually to wheels made from nonferrous alloys.
Lighter wheels better the handling by reducing unsprung mass which allows suspension to follow the terrain more closely and thus improve grip. However all alloy wheels are not lighter than their steel equivalents. Reduction of weight can also help to reduce fuel consumption.
Better heat conduction helps in dissipating the generated heat from the brakes, which improves braking performance in more demanding driving conditions. This improved performance of brakes reduces the chance of compromised brake performance or even failure due to overheating.