Here is a good resource: www.sheldonbrown.com/frame-materials.html. It also covers titanium and carbon fiber as frame materials.

For some bicycle components, aluminum is universally considered to be better than steel. For example, cranks and chainrings are made of steel are generally not used on bicycles of decent quality, as the aluminum versions are both lighter and quieter, and hold up tolerably under the stress they are subjected to in ordinary riding.

As far as frame materials, I have seen some anecdotal stuff that suggests aluminum frames are slightly more prone to frame failure than steel, I'm not sure what actual scientific tests on actual bikes have shown. Although steel is stronger than aluminum, aluminum bicycles are made with thicker tubing (34.9 mm diameter, vs. around 28 mm for steel tubing if I remember correctly) to compensate, so you're really not riding something that's terribly weak. Sometimes aluminum bicycles are constructed so that some of the more important/vulnerable components are constructed with steel; for example, my Trek 1100 is an aluminum frame but was made with a Cr-Moly steel fork.

I've not had any problems with my aluminum bicycle yet, but I have only ridden it 300-400 miles so far, and I don't carry a lot of weight on it simply because it doesn't have a touring geometry which would suit it for load bearing.