If it's on the brake track, don't bother unless they're making the braking grabby. Anything you do will remove material, which generally speaking is a bad thing.
If it's on the hub side of the rim, well most aluminium rims are anodized. Can't polish out a scratch w/o taking out the anodizing. Difficult to make it look good. If it's a coloured anodizing, fill in with a permanent marker.