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.

This question comes up a lot among suppression talk.  The difference between the two types of ammunition is actually not that complicated.  Simply put, if you are going to shoot suppressed, you will want to use subsonic ammo.  Scientifically speaking, subsonic means the projectile is moving slower than the speed of sound.  The actual speed of sound will vary based on temperature and humidity.  In relatively dry air the speed of sound is 1126 feet per second.  Anything under 1126 ft/sec is subsonic.  Supersonic projectiles produce a mini sonic boom which is usually called a sonic crack.  Sonic cracks are not desired by suppressed weapons and they are only masking the bang from the end of the muzzle.  Once the bullet leaves the barrel is begins to produce a loud crack.

Supersonic is anything above 1126 ft/sec such as most 9mm rounds.  Most .45 ACP rounds travel a little over 900 ft/sec making it subsonic by design.  9mm rounds can be purchased in a higher bullet weight (or reloaded) which slow down the projectile to subsonic speed.  This is commonly 147 grain and even 158 grain.  Subsonic ammo will have a slightly different point of impact vs standard 115 grain ammo due to the bullet weight.  Shooters looking for long distance out of subsonic ammo are often disappointed. Here is a look at shooting an MP5 with supersonic 124 grain ammo combined with some 147 grain subsonic:

 

The .223/5.56 is terrible round for suppression.  By design, the projectile travels so fast (usually between 2,220-3,200 ft/sec) it is nearly impossible to bring them down to subsonic speed.  There are a handful of manufacturers that will use a 100 grain bullet (over the standard 55 grain) and lighten the powder charge.  These rounds are considerably less accurate at distance and usually require an adjustment to the gas system to allow for proper cycling. However, they often must be cycled manually.

The AR-15 is a great rifle.  It's reliable, accurate, and made in America.  What else could you ask for?  Unfortunately the triggers in many models don't do the rest of the weapon justice.  A rough action, heavy trigger pull, and lots of slack. There are literally dozens of aftermarket triggers available.  They range in price from $58 to nearly $300.  If you aren't an experienced AR-15 shooter, a $200+ Geissele trigger probably won't change your life.  However, a cheaper alternative will make a world of difference over a cheap stock trigger and quickly improve your accuracy.
The stock trigger on my Smith & Wesson MP-15 was terrible in relation to the after market triggers.  For $65 a Spike's Tactical Battle Trigger is well worth the money.  It is not a match trigger, but the pull is much lighter, has a short reset, and very little slack before breaking.  It's is also coated in Nickel Boron.
The installation is pretty easy, and only takes about 15 minutes.  I recommend taking the trigger assembly out and cleaning it every few thousands rounds to maintain a crisp trigger break.