Standard ammo is cased in brass which gives it the golden-yellow coloring. Sure it looks nice but using steel cased ammo is MUCH cheaper than brass. If your gun can shoot it, more power to you. I will be the first to admit that steel won't work in 100% of the guns out there.

In fact, most 1911 pistols will not cycle the ammo properly. This has to do with the very tight tolerances used in that specific firearm. So for you 1911 shooters, sorry you're probably stuck with brass. Some AR-15s will also fail to cycle steel-cased ammo. In fact, some of it will not eject at all because it gets stuck in the barrel. If that happens, it will need to be banged out using a dowel or cleaning rod. I have shot thousands of rounds through my Smith & Wesson M&P-15 with only 1 steel case lodged in the barrel.
There are 3 popular brands of steel-cased ammo:

1. Wolf
2. Tula
3. Silver Bear

Wolf and Tula are practically the same thing. They are manufactured in the same Russian plant and perform nearly identical. They may produce a tad more carbon inside your gun, but not much more than a standard brass load. Wolf/Tula is produced in all popular calibers and is even now available at Walmart (at least in Florida). This ammo is steel-cased with a lacquer coating that allows it slide more easily like brass cases. These rounds have a dirty feeling to the outside and they will get your hands dirty simply by handling them.
Silver bear is another Russian product that is a little cleaner than the others. It has a zinc coating instead of the lacquer to provide the same proper feeding. It does not have a dirty feeling like the Wolf/Tula brands and is much nicer to use. However, it is a little more expensive.
All of these brands will save you significant money over brass-cased ammo.
Let's do some math, from aimsurplus.com (as of 12/21/2011) I have fetched the price of 1000 rounds of both steel-cased wolf and brass-cased PMC. Both choices are .223 caliber and include shipping.

PMC total cost: $311.14 = $.31/round
Wolf total cost: $212.20 = $.21/round

That's a total saving a 10 cents every time you pull the trigger. So by shooting steel, I can spend the same amount of money (say $212) that I would on brass, but have 326 more rounds! That's almost 11 more 30 round magazines!
Of course if you are shooting long distance (greater than 200 yards) you may notice less accurate groups using the cheap steel-cased stuff. I'm not going to argue accuracy as the quality of ammo is not the same. There is also some arguments that steel cased ammo may wear the extractor and barrel rifling faster than brass. I haven't personally seen this, but others have mentioned it. For most novice/intermediate shooters it is a cheap way to make more frequent trips to the range. If your guns can't shoot steel, consider reloading.