Steel cylinders are tougher than aluminum. They can take more impact while protecting the air inside. The downside of steel cylinders is that they are more expensive than aluminum. Both types will do the job for you, but you need to know where you are diving to make the best choice of the cylinder.
Steel cylinders are galvanized to prevent rusting and the toughness of the material allows them to withstand up to 300 bar of pressure. Aluminum cylinders will not add a lot of weight to your diving equipment, but they can only withstand up to 232 bar of pressure. You will often hear that steel tanks are heavier. A steel tank the same physical size as an aluminum tank will be heavier. However, it will hold more air.