A major reason the industry made the change to alloy wheels over steel is the noticeably lighter weight, which can improve handling and help to reduce fuel consumption by saving the extra weight. Modern day alloy wheels are typically made from Aluminium however previously Magnesium was the metal of choice, they were referred to as "mag wheels" and were most commonly seen on race cars in the early 1960's.
Not all alloy wheels are manufactured in the same way either - different methods are used to obtain the end goal in mind, whether this be cost-effectiveness and shorter lead time, producing the best aesthetics or overall strength and performance. Methods include high or low pressure Die casting, gravity casting or the most expensive option - forging. Forged wheels are typically the strongest type of alloy wheel however the cost is astronomically more expensive than the standard methods of production, forging includes heating, rolling, applying pressure and shaping all while paying incredible attention to detail.
Secondary to producing the wheels themselves, manufacturers also use a range of different techniques to change the finish. On more premium vehicles such as Audi, BMW or Mercedes-Benz you'll typically see a Diamond Cut finish, they offer the most shine second to Chrome, which is only really seen these days on classic cars. Another common finish is Powder Coating, typically used on manufacturers that offer a 'black pack' or a darker variation of a particular wheel, Powder Coating is applied electrostatically before being heated up to form a durable layer, this is typically tougher than paint.