Steel:
Heavier, but heavy duty
Great range, hunting and all around general use mags
Stronger than the Alloy mags and will take more use/abuse
Will rust if they get wet and are left that way for long
Alloy/Aluminum:
Light weight
Designed to be disposable (to a certain extent)
Great range mags
Will get torn up/bent up quicker than steel mags with normal use
Won't rust/corrode
Both types will function 100% and will give you good service. Stick to HK Factory and Contractor Mags (Rheinmetall, FMP, etc.). Both are cheap these days ($2-3 for alloy; $8-10 for steel in used) and are plentiful.