Epitaxial (Al,Ga,Mn)As films were prepared by low-temperature molecular-beam epitaxy and their magnetic properties were investigated. The Mn composition was fixed at approximately 0.05 while Al composition was varied up to 0.30. The results of magnetization and transport measurements for high Al composition samples show an out-of-plane magnetic easy axis and insulating behavior. This is quite different from those of (Ga,Mn)As films grown under the same growth conditions. The postgrowth annealing modified both the anisotropy and conductivity, indicating the presence of correlation between them. Preparation and characterization of the (Al,Ga,Mn)As-based heterostructures are also presented.