I use Meguire's Hot Rims to get the crap off (best rim cleaner EVAR!! and it works great on tailpipes too) and then I use Mother's Mag and Aluminum Polish to shine them up. It also protects them a little bit and helps keep them cleaner so they're easier to clean the next time around. Both products are pretty inexpensive too.
With the rim cleaner, use one of those dishwashing scouring pads if it needs to be scrubbed, but make sure it's one of the plastic-y ones, not the steel wool ones or else it will scratch. Then use a soft cloth to apply the polish and buff it off with another clean cloth.
Well, I did the best I could. It doesn't look that great though because my Mother's Mag was like really aged or something and wasn't doing much of a good polishing job. I also had a very hard time getting some of the crap out with steel wool + Hot Rims.