If you just want to mount lights, go the alloy - it's lighter, but offers very little frontal protection and it's difficult to mount winches. You may get away with a low-speed roo hit but anything over 70km/h or so will probably decimate the bar.
A steel bar is heavy - perhaps enough to warrant an upgrade of your front springs, too - but versatile, allowing you to not only put driving lights, but a winch as well. It should cope with roo hits well, and that's why we had one fitted to our Navara, but we've since added a winch to enable us to assist in recovery (of ourselves, or others).
As Dave says, purpose is important. There's a substantial weight difference between the two. Make sure you get them from a supplier that stamps the product as compliant - your car has air bags, and any bar fitted to it has to have passed testing in order for your air bags to work properly. If you have an incident, this may affect your own safety and your insurance too.