Steel is both heavier and stronger than aluminum, and has been used for wheel construction a great deal longer. Steel bends and becomes damaged much less easily than alloy. Because steel is already so strong, further casting or forging methods are generally not necessary. Most steel wheels are stamped out by massive presses and then welded together to form the wheel, as in these steel racing wheels. The downside to this is that steel will not allow for the kinds of spoke and face designs that make allow wheels such an artistic platform on the car.
For the most part all one can do with steel faceplates is to stamp some windows in them for brake cooling purposes. However, several companies nowadays are working hard on creating steel wheels that are chrome-clad, meaning that they have a thin overlay, usually made of tin, which has been chromeplated and then glued on the face of the wheel.
The weight of wheels, tires, brakes, and rotors is specifically called “unsprung weight” because it is not being cushioned by the suspension springs. Unsprung weight has much more effect on how the car handles than an equivalent amount of weight above the springs, such that even a small change in weight can have large effects.
Thus for many reasons alloys are the only choice when high performance and/or looks are the qualities you need. Steels are generally better for those no-nonsense daily drivers, or for any cars that don't have to look pretty or do fancy maneuvers because they work for a living. They are especially ideal, however, for that extra set of winter wheels.