I have a steel cable on my Warn winch. I really should just buy a rope for it and change the fairlead for a hawse, but haven't bothered yet.
If you have the option and a few dollars more doesn't bother you, go the rope. Much easier to work with. While you should always use gloves during recoveries, it's not as critical for rope, but a must for handling steel cable. Broken strands of cable will go straight into your hand.
Steel cable under load stores energy and if something breaks, it can whip causing damage to vehicles or people. The rope stores very little, and a break should see it drop to the ground (doesn't hurt to use blankets in any case).
If you don't go out 4wd'ing often, take the rope off and store it in a bag in your shed out of sunlight and UV. Taking it off after a trip means you can clean it easily anyway.
There is a benefit to the steel cable that I found. It's heavy. When you get stuck on a very steep and muddy hill, you're the one behind the wheel. It's your mates who have to try and drag that cable up hill while they're sliding around. It can be fun to watch and listen to them bitch about it later on at camp.