Given the kind of winter road conditions we see around Calgary, and the sporty nature of your WRX, I wouldn't put on anything less than H-rated tires.
I really like Yokohama winter tires in general, but am not convinced that the AVS is suited to much more than Vancouver-type winter weather. I've got no first-hand experience with them, but a family member who's opinion I trust was extremely unimpressed with their ice and snow performance. At the opposite end of the spectrum, there was also a poster on this forum who thought their performance on bare pavement left a lot to be desired. Here's a link to that thread:
http://test.canadiandriver.com/discus/messages/2479/21017.html Quite a few folks on here have been happy with the Hankook W300s - I'm sure a search would turn up lots of info. If cost isn't a big factor, I'd be inclined to look at tires like the Blizzak LM-22/25, Pirelli 210 or Dunlop M2/3. They're still H-rated (or better) but their more aggressive tread patterns seem to me to be a little better suited to the deeper snow that we do get on occasion around here.
As for steel versus alloy, my feeling is that if you're going to be putting H or V-rated winter tires on a performance car, you may as well stick with performance rims as well (i.e. alloy). 16" rims are heavy enough as it is.
Of course, some say alloys are more prone to air leaks caused by oxidation from the salty winter environment. FWIW, though, I've been using alloy OEM Acura rims for 3 winters now with no problems. As well, those who are prone to running into curbs are probably advised to stay away from alloys - they're more expensive to replace and harder to fix.
Really though, the decision usually comes down to cost vs. cosmetics. Whatever you do, though, please, please, please don't put on any fake plastic wheel covers! If you go with steelies, wear them with pride! (there's nothing quite like the look of a dark green or black Audi/Subaru/Volvo/Saab on black steelies - very hard-core winter chic, IMHO

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(Message edited by sir_civic on November 20, 2004)