Aside from the performance (weight) advantage, I like winter alloys because they don't get all pockmarked with rust like steelies do.
Oh sure, I know that some people complain about their alloys oxidizing and developing slow leaks from winter use, but it's never been a problem for me. Maybe it's an issue back east with all the salt, but I've never had a problem out here.
My Civic has some OE-takeoff alloys from an Acura 1.6 EL, and they don't lose any air after five winters of use. The finish still looks good, too.
I just got some winter steelies for the Suburban - not my first choice, but I did it out of convenience. Plus they're painted silver, so they don't look too bad. I'll just have to keep on them with the touch-up paint.

EDIT: Just wanted to make one final point (that should really go without saying) - Plastic wheel covers are never an acceptable option.
