What makes steel-cut oats different?
They're coarser, so they have a better texture when cooked. Rolled oats are mushy and bland, even if you get the non-instant variety. Groats are a pain in the butt to cook: like millet, they take forever.

Steel cut oats are a nice compromise (technically steel cut groats). Get some yummy groaty flavor, but the prep time is much lower (a mere half hour, instead of a week or two for whole groats).