Of course there's the first-time issue of having to turn off automatic proxy detection over LAN for Steam's use of the IE engine.
They don't use IE anymore. They now use WebKit, the best web engine available. :D
I just wish that they'd make creating Steam UI skins more easier to create so there would be a lot more to choose from.
I don't know about the ease of creating skins, but they added a ton of options for skin-makers now.
Also, all of those rumors about a Mac OS X Steam seem pretty dumb. They included the three button icons that are used on OSX titlebars for minimizing, closing, etc. There's no reason to include these icons with applications because these are OS-controlled when you make OSX applications. They don't include a copy of those icons in every app made.
The reason for including those icons is simple. They're for a OSX-like
skin for Windows. They have absolutely nothing to do with OSX itself.