My expansions/dlc/content packs bought on Steam have not downloaded, are not in the game.
*Update notice* The current version of the Steam client is having problems with some installers not writing to the Windows registry. Reports are that this has been fixed in the current Steam beta.
If you go to Steam->settings at the top left of the client, in the Account tab you will find the option to join the current Steam Beta.
In the Steam client, right click on the game in your library list, select properties from the dropdown list then in the Local Files tab select 'Verify integrity of game cache'
If the content is still not in the game try Exiting Steam properly by going to Steam->Exit at the top left of the client or clicking on the Steam icon next to your clock and selecting Exit, then restart Steam - or even better, reboot your PC then restart Steam.
Then follow the instructions already posted for verifying integrity of the game cache again.
Content still not there? Try following these Steam support instructions for removing and refreshing your Steam files (this does not remove your game content!) -> https://support.steampowered.com/kb_article.php?ref=3134-TIAL-4638
You can also try switching to a different download region in case it is a problem with your local download servers. Go to Steam->Settings at the top left of the client, and in the Download+Cloud tab click under Download Region to bring up the list of servers and select a different one.
If all of the above fails then in the Steam client, right click on the game in your library list and select Delete local content - then try downloading the game again.