Really, guys? No love for what Valve has to say on the subject?

Here's what the Valve Developer Community [has to say on the subject.][1]

One "easy" method of installing Steam is with Play On Linux. First download the latest version of PoL and install it. Then run it by typing: "playonlinux" in the console and click on "installer", select "jeu" or "game" and next, select steam, next, say yes for all next steps, and here it is, Steam is installed! Enjoy.

[For Wine, you] have to set up a working Wine installation first. [Then,] Download the installer, open a terminal and change to the download directory. Run wine start SteamInstall.msi and follow the instructions. After that Steam is installed in Wine's "virtual" Windows drive, usually ~/.wine/drive_c/Programs/Valve/Steam. Alternatively, you will need to use msiexec to run the Steam installer. Therefore, run wine msiexec \a SteamInstall.msi and follow the Steam installer instructions. Note: The login window doesn't have keyboard focus when starting up. You have to right-click into the login field first.

It also notes that if you run Compiz on your computer you will experience severe slowdown problems. It recommends to disable Compiz before launching Steam. [1]: http://developer.valvesoftware.com/wiki/Steam_under_Linux