I run steels in the winter because I am cheap (and I try hard not to bang wheels off things). Based on what I know now, a properly designed set of alloys is "tougher" as they don't bend if you bang them while drifting. It doesn't take much for steels to get a serious wobble.Steel is better because it's tougher than alloy and cheaper to replace if it does get damaged.
Decent overview here of wheel types for winter hooning. For daily cruising, meh, run whatever.