weight isn't really an issue...
one big reason - aftermarket wheels are typically smaller in diameter, which increases steering effort slightly.. maybe not what you want on the street, but light steering can be annoying on the track.
Also, many cars, especially newer American cars or older Japanese cars, will have steering wheels with the spokes in weird places. This can mess up hand positioning for performance driving. The S13 steering wheel spokes are spaced perfectly <img src="http://www.zilvia.net/f/iB_html/non-cgi/emoticons/thumbs-up.gif" border="0" valign="absmiddle" alt=':thumbsup:'>