This is pretty simple, but some people are new.
Start by getting the .deb:http://media.steampowered.com/client/installer/steam.deb
Then, if you're on a .deb based distro:
dpkg -i steam.deb
as root, there you go.
For non-.deb'ers (Fedora 17 here):
sudo yum install dpkg
or whatever package manager you use (YaST, pacman, etc)
Extract the .deb
dpkg -x steam.deb
sudo rsync -rv ./usr /
On first launch, I got a weird xterm-like window asking for the password for the user "user", I just closed it and everything worked. Use proprietary drivers by the way people. On fedora, rpmfusion has akmods for every card known to man (nVidia, AMD, AMD-Legacy).
This is pretty basic, but I just want to make sure that people DON'T USE ALIEN.
That horrendous piece of what can barely be called software will ruin your perms on / and basically force you to reinstall, hopefully your /home is on a separate partition/lvm.