Some bikes actually come with decent wheels...just not at the lower end of the scale.

Lighter can be better, but remember the weight you're pushing up a hill includes the rider. Losing weight off the rider is the best (and cheapest) way to improve climbing.

For me, lateral stiffness and comfort are important. The stock wheels on my bike would flex enough from side to side to rub the brake pads when I got out of the saddle to climb or accelerate, and I'm not a powerful rider. Better wheels eliminated this flex, and also do a better job of reducing road chatter.

Let's not forget the bling factor. For some, this is the overriding concern.