I've given this problem some thought too, and it really comes down to how much you're willing to pay for the wheels. Our stock wheels weigh 24lb each...combined with the 24lb Potenza RE050A tires, that gives us 48lb of unsprung weight in each wheel + tire package. Now, you can definitely drop a decent amount of weight from this by getting 3rd party wheels...in fact, 15-17lb per wheel is a pretty achievable weight to shoot for. The problem lies in what you're willing to pay for this weight, though. If you are only willing to spend 150-200 per wheel, then you can get these wheels, but it will be a cast alloy wheel made by companies like Kazera, Kosei, etc. which will likely be pretty easy to bend. Now, if you're willing to pay 400-600 per wheel, you will be able to move up to forged wheels which will not only weight 15-17lbs, but will also be very strong as well.
So, if you live in an area where there aren't potholes and you will never hit a bump or curb, then it's perfectly safe to go ahead and get the cheap light wheels. Unfortunately, most people live in places where they have to choose between spending a lot initially on wheels to handle the thumps, or risking constant wheel replacements due to dents made by the roads they drive on. Keep in mind that our stock wheels cost $490 each from the dealership, but I've heard that they are pretty darn strong...they'd BETTER be with 24lb of alloy!
EDIT: our stock wheels are cast alloy, btw...they're just $490 each cause Mazda is having its way with us...=/
Oh, and I forgot to mention that lighter wheel+tire means:
1. less load on the suspension when you hit a bump.
2. more power applied to the road because your rotational weight (what is actually rotating when you apply power) is lower.
3. better traction over non-flat surfaces.