Yes, you can use _mm256_loadu_ps / storeu for unaligned loads/stores (AVX: data alignment: store crash, storeu, load, loadu doesn't). If the compiler doesn't do a bad job (cough GCC default tuning), AVX _mm256_loadu/storeu on data that happens to be aligned is just as fast as alignment-required load/store, so aligning data when convenient still gives you the best of both worlds for functions that normally run on aligned data but let hardware handle the rare cases where they don't. (Instead of always running extra instructions to check stuff).
Alignment is especially important for 512-bit AVX-512 vectors, like 15 to 20% speed on SKX even over large arrays where you'd expect L3 / DRAM bandwidth to be the bottleneck, vs. a few percent with AVX2 CPUs.
The standard allocators normally only align to alignof(max_align_t), which is often 16B, e.g. long double in the x86-64 System V ABI. But in some 32-bit ABIs it's only 8B, so it's not even sufficient for dynamic allocation of aligned __m128 vectors and you'll need to go beyond simply calling new or malloc.
Static and automatic storage are easy: use alignas(32) float arr[N];
C++17 provides aligned new for aligned dynamic allocation. If alignof for a type is greater than the standard alignment, then aligned operator new/operator delete are used. So new __m256[N] just works in C++17 (if compiler supports this C++17 feature; check __cpp_aligned_new feature macro). In practice, GCC / clang / MSVC support it, ICC 2021 doesn't.
Without that C++17 feature, even stuff like std::vector<__m256> will break, not just std::vector<int>, unless you get lucky and it happens to be aligned by 32.
Plain-delete compatible allocation of a float / int array:
Unfortunately, auto* arr = new alignas(32) float[numSteps] does not work for all compilers, as alignas is applicable to a variable, a member, or a class declaration, but not as type modifier. (GCC accepts using vfloat = alignas(32) float;, so this does give you an aligned new that's compatible with ordinary delete on GCC).
Workarounds are either wrapping in a structure (struct alignas(32) s { float v; }; new s[numSteps];) or passing alignment as placement parameter (new (std::align_val_t(32)) float[numSteps];), in later case be sure to call matching aligned operator delete.
See documentation for new/new[] and std::align_val_t
Other options, incompatible with new/delete
Other options for dynamic allocation are mostly compatible with malloc/free, not new/delete:
std::aligned_alloc: ISO C++17. major downside: size must be a multiple of alignment. This braindead requirement makes it inappropriate for allocating a 64B cache-line aligned array of an unknown number of floats, for example. Or especially a 2M-aligned array to take advantage of transparent hugepages.
The C version of aligned_alloc was added in ISO C11. It's available in some but not all C++ compilers. As noted on the cppreference page, the C11 version wasn't required to fail when size isn't a multiple of alignment (it's undefined behaviour), so many implementations provided the obvious desired behaviour as an "extension". Discussion is underway to fix this, but for now I can't really recommend aligned_alloc as a portable way to allocate arbitrary-sized arrays. In practice some implementations work fine in the UB / required-to-fail cases so it can be a good non-portable option.
Also, commenters report it's unavailable in MSVC++. See best cross-platform method to get aligned memory for a viable #ifdef for Windows. But AFAIK there are no Windows aligned-allocation functions that produce pointers compatible with standard free.
posix_memalign: Part of POSIX 2001, not any ISO C or C++ standard. Clunky prototype/interface compared to aligned_alloc. I've seen gcc generate reloads of the pointer because it wasn't sure that stores into the buffer didn't modify the pointer. (posix_memalign is passed the address of the pointer, defeating escape analysis.) So if you use this, copy the pointer into another C++ variable that hasn't had its address passed outside the function.
#include <stdlib.h>
int posix_memalign(void **memptr, size_t alignment, size_t size); // POSIX 2001
void *aligned_alloc(size_t alignment, size_t size); // C11 (and ISO C++17)
_mm_malloc: Available on any platform where _mm_whatever_ps is available, but you can't pass pointers from it to free. On many C and C++ implementations _mm_free and free are compatible, but it's not guaranteed to be portable. (And unlike the other two, it will fail at run-time, not compile time.) On MSVC on Windows, _mm_malloc uses _aligned_malloc, which is not compatible with free; it crashes in practice.
Directly use system calls like mmap or VirtualAlloc. Appropriate for large allocations, and the memory you get is by definition page-aligned (4k, and perhaps even 2M largepage). Not compatible with free; you of course have to use munmap or VirtualFree which need the size as well as address. (For large allocations you usually want to hand memory back to the OS when you're done, rather than manage a free-list; glibc malloc uses mmap/munmap directly for malloc/free of blocks over a certain size threshold.)
Major advantage: you don't have to deal with C++'s and C's braindead refusal provide grow/shrink facilities for aligned allocators. If you want space for another 1MiB after your allocation, you can even use Linux's mremap(MREMAP_MAYMOVE) to let it pick a different place in virtual address space (if needed) for the same physical pages, without having to copy anything. Or if it doesn't have to move, the TLB entries for the currently in use part stay valid.
And since you're using OS system calls anyway (and know you're working with whole pages), you can use madvise(MADV_HUGEPAGE) to hint that transparent hugepages are preferred, or that they're not, for this range of anonymous pages. You can also use allocation hints with mmap e.g. for the OS to prefault the zero pages, or if mapping a file on hugetlbfs, to use 2M or 1G pages. (If that kernel mechanism still works).
And with madvise(MADV_FREE), you can keep it mapped, but let the kernel reclaim the pages as memory pressure occurs, making it like lazilly allocated zero-backed pages if that happens. So if you do reuse it soon, you may not suffer fresh page faults. But if you don't, you're not hogging it, and when you do read it, it's like a freshly mmapped region.
alignas() with arrays / structs
In C++11 and later: use alignas(32) float avx_array[1234] as the first member of a struct/class member (or on a plain array directly) so static and automatic storage objects of that type will have 32B alignment. std::aligned_storage documentation has an example of this technique to explain what std::aligned_storage does.
This doesn't actually work until C++17 for dynamically-allocated storage (like a std::vector<my_class_with_aligned_member_array>), see Making std::vector allocate aligned memory.
Starting in C++17, the compiler will pick aligned new for types with alignment enforced by alignas on the whole type or its member, also std::allocator will pick aligned new for such type, so nothing to worry about when creating std::vector of such types.
And finally, the last option is so bad it's not even part of the list: allocate a larger buffer and do p+=31; p&=~31ULL with appropriate casting. Too many drawbacks (hard to free, wastes memory) to be worth discussing, since aligned-allocation functions are available on every platform that support Intel _mm256_... intrinsics. But there are even library functions that will help you do this, IIRC, if you insist.
The requirement to use _mm_free instead of free probably exists in part for the possibility of implementing _mm_malloc on top of a plain old malloc using this technique. Or for an aligned allocator using an alternate free-list.
