This pretty much answers your question. If you're not going to carbon fiber rims, you're not going to get rims with a deep enough section to make much aerodynamic difference at an acceptable weight. So just get a moderately light wheel that will still be sturdy.

Now if you were willing to go Carbon Fiber, then the answer is that deep section (i.e. aerodynamic) trumps weight in almost every condition other than a pure hill climb time trial.