Turns out, so does Steam. The fonts are a little messed up, and if you run in a virtual desktop like I usually do (Compiz Fusion has issues with full-screen apps and I'm too lazy to turn it off) then the system tray is a little annoying, but whatever.
1) Download Steam from steampowered.com.
2) (UPDATE 12/12/2009: Installing wine is a bit tricky in Ubuntu 9.10, see my post for installation instructions.) Install Wine, if you don't have it installed. After it is installed or if you haven't run it before, run it real quick in a terminal (Applications->Accessories->Terminal) by typing "wine" and pressing Enter. This creates the wine folder where your settings go, it's important.
3) Put it in a Wine folder. If you don't have a wine folder, create a folder on your desktop called Wine and then run this command in a terminal :
ln -s ~/.wine/dosdevices/z: ~/Desktop/WinePut the Steam installer in that folder, open the folder and run the installer. It should work fine. If double-clicking it doesn't work you, right click on the file and go to "Open with Other Application". Click on "Use a custom command" and in the box that appears type msiexec. Then press Open.
4) Follow the Steam installation instructions. Usually this means you have to click Next a bunch of times.
There, you should now have Steam installed. Keep in mind that not all games work in Wine. You'll have to try different ones (that's what I'm going to do) and see what works and what doesn't, I'll try to post on here if I have to jump through a few hoops to get certain games working properly.