same thing it does on the body. It keeps dirt and debris from sticking, and protects against UV light and water. You can actually wax your autoglass too, as long as you do a very good job.
ElectricTang, that car is gorgeous. Allen2003, what UMDsmith said is true. It basically forms a protective barrier if you would that repells dirt and water and keeps brake dust from baking as easy to your wheels.
I always put wax on the wheels of cars when I first get them in at the dealership I work at. Not only does it help them stay clean and shining longer, it protects them from those little annoying scratches from wiping off brake dust or covers a lot of them up if they are already there. I find this especially good to do around road construction season (which seems to be all of the time here in Pittsburgh) for protection from the fresh tar and chips as well as usual dirt and grime.