Older rims were made of steel, but steel rims are now obsolete, and only found on the cheapest, crummiest bicycles. Aluminum rims have superseded steel, because they are lighter, stronger, rust-proof and provide better braking. Modern rims are made of extruded aluminum, that is, the semi-molten aluminum is squeezed out of specially-shaped openings which determine the cross section of the rim. The extrusions are formed into hoops, then joined either by welding or by the insertion of a filler piece into the hollows of each end of the rim. Many good quality rims have "eyelets" or "ferrules" to reinforce the spoke holes. [Following paragraphs added by John Allen] A rim can get damaged by an impact with a pothole edge, rock, etc. Rim brakes wear down the sidewalls of aluminum rims, especially in wet-sandy conditions. Eventually, the air pressure in the tire can bulge a sidewall out, causing a blowout. You can usually just transfer the old spokes to a new rim, avoiding the need to relace the wheel -- see Jobst Brandt's article.
There has been a trend toward deeper-section rims in recent years, in the interest of ærodynamics. Moderately deep-section rims are spoked like any others. Extremely deep-section rims can work with somewhat fewer spokes than conventional rims. As few as 20 in a front wheel may be practical -- also an ærodynamic advantage. But there are important downsides. Extremely deep-section rims are excessively stiff, and must be very true as supplied, without coaxing from the fewer spokes. If the tire bottoms out on a rock or other obstacle, such a rim does not provide a "crush zone" to the same extent as a conventional rim. There is more likelihood of damage to the bicycle's fork and frame. The rim will probably crumple and be unrepairable, or if it is of carbon fiber, it will tear. These rims are heavier, too, all other things being equal. The strength of the tried-and true wheel design is in the spokes, not the rim. Where high ærodynamic efficiency is important, a better technical solution is a rim of the required strength and stiffness, with a lightweight wind fairing. In fact, triathletes and HPV racers have used wheels like this for many years. The hidebound rules of the U.C.I, on the other hand, prohibit any part of a racer's equipment from serving only an ærodynamic purpose. The result has been "Frankenstein" equipment such as deep-section rims and "æro" helmets whose long, protruding tail adds weight and can twist the rider's neck if he/she lands the wrong way. Pro racers put up with all this because any tiny speed advantage could win a race, and because the team pays for their equipment. Even less practical than wheels with very deep sections are wheels with unevenly-spaced spokes, or with spokes which attach to the rim and hub in unconventional ways and locations. Some of these wheels provide a real advantage to racers; others only a placebo effect. These wheels tend to be very expensive, and a real headache to repair or rebuild, because of the special parts and tools needed.
From: http://www.sheldonbrown.com/wheelbuild.html
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