Gareth,
The best advice I can give is to try both, and see which you prefer. Your course instructor should be able to provide some for the course, if not then I advise you try and borrow or hire some.
The choice is largely personnal, I prefer Ali. Out of the water ali is probably heavier and certainly bulkier than steel, but in the water I just don't notice them at all.
As to where to buy...... Godive always seem to have good prices, but Caveat emptor - check delivery (start of the season etc), and check when they were made (often cheap stock has limited life left before test required).
Cheers, Paul