Originally Posted by Wikipedia

Effects of unsprung weight

The unsprung weight of a wheel controls a trade-off between a wheel's bump-following ability and its vibration isolation. Bumps and surface imperfections in the road cause tire compression—which induces a force on the unsprung weight. The unsprung weight then responds to this force with movement of its own. The amount of movement, for short bumps, is inversely proportional to the weight - a lighter wheel which readily moves in response to road bumps will have more grip and more constant grip when tracking over an imperfect road. For this reason, lighter wheels are sought especially for high-performance applications. In contrast, a heavier wheel which moves less will not absorb as much vibration; the irregularities of the road surface will transfer to the cabin through the geometry of the suspension and hence ride quality and road noise are deteriorated. For longer bumps that the wheels follow, greater unsprung mass causes more energy to be absorbed by the wheels and makes the ride worse.